Overview

The overall aim of this unit is to study the fundamental computational methods for solving problems in financial mathematics. This includes a full overview of finite-difference methods for obtaining numerical solutions of partial differential equations, convergence and stability analysis of finite-difference methods, iterative techniques for solving large-scale linear systems arising … For more content click the Read More button below.

Offerings

S1-01-CLAYTON-ON-CAMPUS

Rules

Enrolment Rule

Contacts

Chief Examiner(s)

Dr Oscar Yu Tian

Unit Coordinator(s)

Dr Oscar Yu Tian

Learning outcomes

On successful completion of this unit, you should be able to:
1.

Develop specialised mathematical knowledge and computational skills within the fields of partial differential equations and probability theory.

2.

Understand the complex connections between specialised financial and mathematical concepts.

3.

Apply critical thinking to problems in partial differential equations that relate to financial derivatives.

4.

Apply computational problem solving skills within the finance context.

5.

Formulate expert solutions to practical financial problems using specialised cognitive and technical skills within the fields of partial differential equations and probability theory.

6.

Communicate complex information in an accessible format to a non-mathematical audience.

Teaching approach

Active learning

Assessment

1 - Continuous assessment
2 - Final assessment - Exam (3 hours and 10 minutes)

Scheduled and non-scheduled teaching activities

Applied sessions
Seminars

Workload requirements

Workload

Learning resources

Required resources

Other unit costs

Costs are indicative and subject to change.
Miscellaneous items required (printing, stationery) - $100