MATHEMATICAL MODELS IN FINANCE mod. 1
Learning outcomes of the course unit
- To learn numerical methods for solving financial problems of differential character
- To acquire competence in the analysis of numerical results
Course contents summary
Numerical methods for differential problems linked to the Black-Scholes equations for the evaluation of financial options.
Most of the program is based on:
- P.Wilmott, J. Dewynne and S. Howison, 'Option Pricing', Oxford Financial Press, 1993
- R. Seydel, 'Tools for Computational Finance', Springer, 2009
Lectures and laboratory
Assessment methods and criteria
Oral exam with any term paper.