Math 586: Computational Finance

Course Information

• Title: Computational Finance (4 hours)
• Lecture Time: Monday/Wednesday/Friday 9am - 9:50am
• Lecture Location: Addams Hall 311

Personal Information

• Office: 1219 Science and Engineering Offices (SEO)
• E-mail: davidn ((at)) uic ((dot)) edu

Office Hours

• Time: Wednesdays, 2pm - 3pm, or by appointment.
• Location: SEO 1219

Textbooks

• Wilmott, Howison, Dewynne, The Mathematics of Financial Derivatives: A Student Introduction.

Other References (Finance)

• Higham, An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation.
• Baxter and Rennie, Financial Calculus: An Introduction to Derivative Pricing.
• Hull, Options, Futures, and Other Derivatives (Sixth Edition).
• Brandimarte, Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Second Edition).
• Seydel, Tools for Computational Finance.
• Kwok, Mathematical Models of Financial Derivatives (Second Edition).
• Wang, Monte Carlo Simulation with Applications to Finance.

Other References (Numerical Methods)

• Strikwerda, Finite Difference Schemes and Partial Differential Equations (Second Edition).
• Johnson, Numerical Solution of Partial Differential Equations by the Finite Element Method.
• Higham & Higham, MATLAB Guide (Third Edition).
• Burden & Faires, Numerical Analysis, (Ninth Edition).
• Faires & Burden, Numerical Methods, (Fourth Edition).
• Cheney & Kincaid, Numerical Mathematics and Computing, (Seventh Edition).

Grading

• Homeworks: 100%

Homeworks (WHD: Wilmott, Howison, & Dewynne; H:Higham; BR: Baxter & Rennie; J: Johnson; W: Wang)

• Homework 1 due Friday, February 2 by 2pm.
• Homework 2 due Friday, February 23 by 2pm.
• Homework 3 due Friday, March 15 by 2pm.
• Homework 4 due Friday, April 19 by 2pm.

Schedule (WHD: Wilmott, Howison, & Dewynne; H:Higham; BR: Baxter & Rennie; J: Johnson; W: Wang)

MATLAB Documentation

• MATLAB Primer