MA471A: Computational Methods in Finance (Winter 2019)

Calendar Description

Numerical methods used in financial engineering and risk management, including numerical solutions of ordinary differential equations, finite difference methods, numerical optimization, Monte Carlo and quasi-Monte Carlo methods, numerical solutions of stochastic differential equations, fast Fourier and other discrete transform methods. The computational methods are illustrated with the use of programming languages such as MAPLE, MATLAB and VBA.

Prerequisites

MA205, MA307, MA370.

Instructor

Professor Roman Makarov (PhD)
Office: LH3054C (Lazaridis Hall)
Office Hours: By appointment.
E: rmakarov@wlu.ca

Lectures

Tuesday and Thursday 10 a.m. - 11:20 a.m. in LH3058 (Lazaridis Hall)

Textbook

Giuseppe Campolieti and Roman N. Makarov. Financial Mathematics: A Comprehensive Treatment. Chapman and Hall/CRC, 2014.

Calculators

Students may use a non-programmable, non-graphing calculator on the midterm examination.

MyLearningSpace

Materials related to this course and the full course outline will be posted on the MA471 MyLearningSpace website. You are responsible for checking here on a regular basis for important announcements.

Evaluation

A final mark out of 100 will be calculated as follows:

• Assignments (Approximately one every other week, 5-6 assignments in total): 30%
• Laboratories (10 labs in total on the following days: Jan. 7, 14, 21, 28; Feb. 4, 11, 28; March 11, 18, 25): 15%
• Midterm Exam (Monday, March 4, 2019, 4 p.m. - 5:20 p.m. in LH3068): 25%
• Final Project: 30%

This document is a summary of the course outline for MA471 and is provided for the convenience of students.