16:642:612-02 Selected Topics in Applied Mathematics – Computational Finance (Spring 2007)

 


           Home page of the course at Rutgers University web site
           University Academic Calendar
           Quantitative Finance Software on the Web
           Prof. Paul M. N. Feehan course 16:642:621

This page will record the topics we cover, with links and information on the related problem assignments and readings. Reading the material from the books on reserve books listed is strongly suggested, but not absolutely necessary. Reading the required text and handouts is required reading. The student should have read the material before coming to the class in which it is discussed!

Notation:
   QMDF - Domingo Tavella, Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance, Wiley 2002, ISBN 0471394475.
   IDM  - L. Clewlow and C. Strickland, Implementing Derivative Models, Wiley, 1998
   MDC - J. London, Modeling Derivatives in C++, Wiley, 2004
   FDMFE - D. J. Duffy, Finite Difference Methods in Financial Engineering : A Partial Differential Equation Approach, Wiley, 2006 

Lecture

Topics

Reading

Assignments

 1

- General problems of computational finance - pricing, calibration, curve fitting.
- Fundamentals of Stochastic Calculus (brief overview).
- Closed form solutions. The Black-Scholes world, option pricing and numerical   techniques.
- Old approaches. The binomial method.

QMDP, chapter 1,2
IDM - chapter 1,2

1.  Homework assignment 1

2

 -From closed form solutions to almost closed-form solutions - Fast Fourier Transform.
- Fractional Fourier transform

Carr, Madan paper
Itkin's presentation
Chourdakis paper

 2. Homework assignment 2

3

 

 

 

4

 

 

 

5

 

 

 

6

 

 

 

7

 

 

 

8

 

 

 

9

 

 

 

10

 

 

 

11

 

 

 

12

 

 

 

13

 

 

 

14

 

 

 

15

 

 

 

Links:

University Academic Calendar
Registrar's Class Roster (RCI login required)
RAMS mailing list management for math612_springl2007 (at) rams.rutgers.edu (RCI login required)
Instructor homepage
Teaching Assistant homepage
Library reserve list
Library (RCI login required for off-campus electronic journal access)
Quantitative finance software