Högskolan i Halmstad
Halmstad University - For the Development of Organisations, Products and Quality of Life

Numerical methods in finance, 7.5 credits

Administrative information
Syllabus (pdf)external link  
Study period: 2-3, autumn term 2009 - spring 2010
Course code: MA8002
Programme: The course is compulsory in the Masters Programme in Financial Mathematics 60 credits.
Schedule:  
Course responsible: Ljudmila Bordagexternal link
Other members of faculty:  
Examiner: Ljudmila Bordagexternal link
   

Important information to new students

Exercises and other study material available through the course homepage.

To the course homepage

Course description


The course aims for the student to acquire knowledge of modern instruments and methods within numerical analysis as well as being able to apply this knowledge and skills in financial mathematics

Upon completion of the course the student shall be able to:

  • describe alternative methods for creating trees, especially binomial trees
  • understand and apply Monte Carlo simulation
  • understand and apply the finite-difference method, the explicit finite-difference method, the implicit finite-difference method, the fully implicit method, and the Crank-Nicolson method
  • understand and apply the American option method, finite difference formulation, the constrained matrix problem, projected SOR, the time stepping algorithm as well as give examples of these methods
  • understand and apply the binomial method
  • describe and apply solution methods for valuation of European options and American options

Language of instruction


Teaching is in English.

Prerequisites and conditions of admission


Mathematics 60 credits, of which at least 7.5 credits must involve analysis, mathematical statistics and differential equations.
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