Module Catalogues, Xi'an Jiaotong-Liverpool University   
 
Module Code: MTH401
Module Title: Computational Methods in Finance I
Module Level: Level 4
Module Credits: 5.00
Academic Year: 2019/20
Semester: SEM1
Originating Department: Mathematical Sciences
Pre-requisites: N/A
   
Aims
This course will provide a survey of numerical methods commonly used for mathematical finance with emphasis on certain computational schemes crucially important. This includes random number generation, interpolation, integral and differential equations, optimization, and simulation. Also aims to realize the numerical algorithm in computing languages such as Matlab or C++
Learning outcomes 
a. They should be able to understand and apply fundamental numerical schemes in fixed income products.

b. To be able to understand and implement the binomial model

c. To be able to analyze and implement finite difference methods
Method of teaching and learning 
Lectures and computer tutorials
Syllabus 
art 1: Fundamental numerical methods and background

i) Mathematical Preliminaries: Taylor series, order of convergence, well-posed and ill-posed problems, rounding errors, condition number, etc.

ii) Solving non-linear equations and applications

iii) Matrix operations, solving systems of equations and applications

iv) Numerical differentiation and quadrature methods

v) Applications in fixed income products


Part 2: Black-Scholes Model and the Numerical Methods

vi) Finite difference methods

vii) Binomial method

viii) Monte Carlo simulation

ix) Implied Volatility Surface and Options Trading
Delivery Hours  
Lectures Seminars Tutorials Lab/Prcaticals Fieldwork / Placement Other(Private study) Total
Hours/Semester 26    26      98  150 

Assessment

Sequence Method % of Final Mark
1 Assignment 25.00
2 Class Test 15.00
3 Final Exam 60.00

Module Catalogue generated from SITS CUT-OFF: 8/24/2019 3:39:08 PM