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Take Home Final: The following take home final is posted in Acrobat .pdf format. Your browser can be trained to automatically open it with Acrobat Reader, a free program which you can download from

This take home final is due at our scheduled Final Examination, Monday, May 8, 7:10pm-10:00pm, in our regular classroom. You may also hand in this final in advance.

This course will strike a balance between a general survey of significant numerical methods any practitioner should know, and a detailed study of certain numerical methods specific to finance. The general material will include numerical methods for random number generation, interpolation, linear algebra, statistics, integral and differential equations, and linear and integer programming. The financial material will include the numerical valuation of a variety of option types, via stochastic differential equations and free boundary problems.

Prerequisites: Basic principles of numerical analysis. Familiarity with the basic principles of partial differential equations, probability and stochastic processes at the level of Stat W6501 (Stochastic Processes) and of finance at the level of Math G4071 (Introduction to the Mathematics of Finance). Some familiarity with computer programming; we will use Mathematica.

Recommended co-requisite: Stat W6505 (Stochastic Methods in Finance).

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