Certificate Course
in
Mathematical and Computational Methods
for
Finance and Economics
This course introduces computational methods for commercial and financial problems.
Though the text for all mathematical arguments is supplied in full, the emphasis is on
the development of useful software in C++. The course fee includes a complete set of
notes and gives students access to the school's computer laboratory.
Prerequisites
Course Content
- Financial Mathematics
- Simple Interest
- Compound Interest
- Future Value of Annuity: Sinking Funds
- Present Value of Annuity: Amortization
- Home Mortgages
- Continuous Compounding
- Numerical Methods
- Derivative Securities
- Forward Contracts
- Future Contracts
- Options
- Other Derivative Securities
- Types of Traders
- Probability
- Random Numbers
- The Normal Distribution
- Monte Carlo Simulation
- A Model of the Behaviour of Stock Prices
- The Markov Property
- Wiener Processes
- The Process of Stock Prices
- Parameters of the Model
- A Binomial Model
- Forward and Futures Prices
- The Black-Scholes Analysis
- Ito's Lemma
- Distribution of the Rate of Return
- Estimating Volatility
- Option Valuation from a Binomial Model
- The Black Scholes Differential Equation
Timetable and Enrollment
Forms
.
For further information contact Prof C.M. Villet