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
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 modelc. 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 backgroundi) 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 applicationsiv) Numerical differentiation and quadrature methodsv) Applications in fixed income productsPart 2: Black-Scholes Model and the Numerical Methodsvi) Finite difference methodsvii) Binomial methodviii) 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: 12/14/2019 4:12:56 PM