Math 62203: Computational Finance
TIME/PLACE: TTh 2:15-3:30, 158 MSB
TEXT:
- The Mathematics of Financial Derivatives: A Student
Introduction,
Wilmott, Howison, and Dewynne, Cambridge University Press, 1995
- Tools for Computational
Finance,
3/e,
Rudiger Seydel, Spring-Verlag, 2006
- Matlab Primer, 7/e, Davis and Sigmon, Chapman &
Hall/CRC,
2005
INSTRUCTOR:
COURSE OUTLINE:
- Basic Numerics and Matlab programming (7 weeks)
- PDE Models (4 weeks)
- Finite-Difference and Tree Models for European and American
Options (4 weeks)
CLASS OPERATION:
- Homework (from exercises in the text or problems integrated with
the
lectures)
will be assigned regularly and collected periodically (with one week
notice).
It will be graded and returned. It will count towards the final
course
grade (20%).
- Numerical Experiments will be assigned. They will be graded
and
returned
and will count towards the final grade (20%). Much use will be
made
of the Matlab
scientific computing and visualization system, which will be introduced
(no previous experience required).
- An in-class Mid-Term Exam will be given after the 1st part of the
course
("basic numerics and Matlab programming").
- A Final Exam will be given during the regularly scheduled
Final Exam period for the course (Thur, Dec 11, 12:45-3:00). It
will cover only material after that covered by the Mid-Term.
GRADES: Homework (20%), Numerical Experiments (20%), Mid-Term
(30%), Final
(30%).
CLASS POLICIES:
- Monitor your kent.edu
e-mail.
- Please abide by the posted lab policies: no food or drink, no
tampering with equipment, never leave the lab open and unattended.
- Please turn your cell phones off.
- Please turn computer monitors off during lectures, unless told
otherwise.
REGISTRATION REQUIREMENT: The
official registration deadline for this course is September 7,
2008. University policy requires all students to be officially
registered in each class they are attending. Students who are not
officially registered for a course by published deadlines should not be
attending classes and will not receive credit or a grade for the
course. Each student must confirm enrollment by checking his/her
class schedule (using Student Tools in FlashFast) prior to the deadline
indicated. Registration errors must be corrected prior to the
deadline.
STUDENTS WITH DISABILITIES: University
policy 3342-3-01.3 requires that students with disabilities be provided
reasonable accommodations to ensure their equal access to course
content. If you have a documented disability and require
accommodations, please contact the instructor at the beginning of the
semester to make arrangements for necessary classroom
adjustments. Please note, you must first verify your eligibility
for these through Student Accessibility Services (contact 330-672-3391
or visit www.kent.edu/sas for
more information on registration procedures).
ADMINISTRATIVE POLICY AND PROCEDURES
REGARDING STUDENT CHEATING AND PLAGIARISM: attached.
INFORMATION SHEET: Please supply the following on a
separate
sheet:
- Name
- Degree(s) (B.S., M.S., ... ), major(s), minor(s), year(s),
institution(s)
- Math courses:
- ODEs
- PDEs?
- Numerical Methods/Analysis?
- Computing experience:
- Languages and Proficiencies (Visual Basic, C/C++, Fortran,
Java, Matlab, ... )
- Preferred Language(s)
- Comments
Chuck Gartland
August, 2008