MATH G6071: Numerical Methods in Finance

Spring, 1999
Mondays and Wednesdays, 6:10pm-7:25pm, 417 Mathematics
Dave Bayer (x42643, 426 Mathematics)

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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 by the end of the scheduled Final Examination, Monday, May 10, 7:10pm-10:00pm (Master University Examination Schedule), in our regular classroom. You are free to work the exam there, but I've never seen anyone choose this option. You may also hand it in in advance, rather than making an appearance at the scheduled final.

Office Hours: My office hours are Mondays and Wednesdays, 4:00pm-5:00pm and 7:30pm-8:00pm. I will often be around at other times in the afternoon; stop by, or check by email or phone. Mathematica Notebooks used in class
Prerequisites: Basic principles of numerical analysis, the ability to write computer programs in some programming language, and the ability to read computer programs written in C. 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).

Recommended co-requisite: Stat W6505 (Stochastic Methods in Finance).
Syllabus: 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.
Course requirements:
Required Texts:
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