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MATH-GA 2048

Scientific Computing in Finance

New York University 3 credits Mathematics

Course Description

This is a version of the course Scientific Computing (MATH-GA 2043) designed for applications in quantitative finance. It covers software and algorithmic tools necessary to practical numerical calculation for modern quantitative finance. Specific material includes IEEE arithmetic, sources of error in scientific computing, numerical linear algebra (emphasizing PCA/SVD and conditioning), interpolation and curve building with application to bootstrapping, optimization methods, Monte Carlo methods, and the solution of differential equations.

Code
MATH-GA 2048
Credits
3
Subject
Mathematics

Programs That Include This Course

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