description: The course consists
of three units equally distributed over one semester.
The course will be project-driven and it will emphasize object-oriented
programming with existing software infrastructure for simulating option
Unit 1: Windows programming environment, MATLAB, and C/C++;
use of existing software libraries and tools.
Unit 2: Background material in numerical computing: interpolation,
least squares, integration, differentiation, solution of algebraic equations;
introduction to numerical solution of ordinary and partial differential
equations (ODE, PDE); the numerical solution of the Black-Scholes PDE model
with finite difference, finite element, Monte-Carlo, and linear complementarity
Unit 3: Numerical models for option pricing products; binomial and
other multinomial lattice pricing models. Comparative study of software
libraries and tools for the risk management and hedging of financial derivative