MA417: Computational Methods in Finance 2009/10
General information about MA417: Computational Methods in Finance
| Lecturer: |
Dr Tugkan Batu | Prof Mihail Zervos |
| Room: |
B405 | B402 (both 4th floor, Columbia House) |
| Email: |
T.Batu [at] lse.ac.uk | M.Zervos [at] lse.ac.uk |
| Office hours: |
Please see the
office hours
page |
Lectures
This is a half-unit course, with lectures in the Lent term. There will also be
four fortnightly lectures of two hours each in the Michaelmas (Autumn)
Term, in weeks 3, 5, 7 and 9, and practical computer sessions in weeks 4, 6, and
10. Please check the
Timetables
website for further information. There will be revision
lectures in the Summer Term.
Seminars
Time and place of seminars can also be found on the Timetables website:
http://www.lse.ac.uk/admin/timetables/confirmed/module_sessional/ma/33.htm Seminars start in Week 2 of the Lent Term.
Exercises
Homework will be regularly assigned during the course. The arrangements for
this will be announced in the first lecture.
Label all work with your name and the course number (MA417).
Reading List
D. J. Duffy, Finite Difference Methods in Financial Engineering: A
Partial Differential Equation Approach, Wiley
P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer
M. S. Joshi, C++ Design Patterns and Derivatives Pricing, Cambridge
P. E. Kloeden and E. Platen, Numerical Solution of Stochastic
Differential Equations, Springer
B. Stroustrup, The C++ Programming Language, Addison Wesley
Course Materials
Please note that this course makes use of the School's virtual learning
environment Moodle to host its main materials. You will need to login
using your LSE login and then 'enrol' for MA417 to access these. This
link should take you straight through to the course pages if you have
a login:
http://moodle.lse.ac.uk/course/view.php?id=1043
If you do not, please go to
http://moodle.lse.ac.uk/ to login and then enrol for MA417.
Course description of MA417: Computational Methods in Finance
Overview
This course is concerned with the computational methods in
finance. Computational tools such as simulation, numerical solutions
to stochastic differential equations, and finite difference methods
are studied using C++ programming language.
Course Content
The course starts with the implementation of binomial and trinomial
trees. Random number generation, the fundamentals of Monte Carlo
simulation and a number of related issues follow. Numerical solutions
to stochastic differential equations and their implementation are
considered. The course then addresses finite-difference schemes for
the solution of partial differential equations arising in finance.
Classes and Exercises
There will be weekly seminars (classes) on this course, and regular homework
assignments. The arrangements for these will be announced in the first lecture.
Office Hours
Our office hours can be found on the departmental
office hours
page (but please these may sometimes change at short notice so do
check when we will be available).
Pre-requisites
MA400 September Introductory Course (Financial Mathematics)
Assessment and Exams
This course is assessed as follows: 50% for a two-hour exam in the Summer Term
and 50% for a project based on independent study to be submitted by a given date
in June. The project will take the form of a written report, normally between 15 and 20 pages long,
11pt, single-spaced.
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2009
Last change: 16th October 2009
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