Computational Finance Graduate Program
(Fall' 97)
CS590F: Numerical Methods and Software for Financial Derivatives
Instructor: Elias Houstis
Course schedule: Room CS111, CS Bldg., TTh 1:30pm - 2:45pm
Course Laboratory: Room CS175
Prerequisites: equivalent material to CS414, MGMT641
 Course description: The course consists of three units equally distributed over one semester.
  • 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 methods. 
  • 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 products. 
The course will be project-driven and it will emphasize object-oriented programming with existing software infrastructure for simulating option models. 
For more information contact