Syllabus-Math472 Fall16 - Math 472 Numerical Methods with...

Math 472 Numerical Methods with
Financial Applications
Instructor: Christian Keller, 4843 EH, [email protected]
Time and location: TuTh 8:30am-10:00am, 1505 CCL
Office hours: Tu 10:00am-12:00pm, Th 10:00am-11:00am, or by appointment
Course description: This is a survey course of basic numerical methods used to solve scientific
problems. The emphasis is divided between the analysis of the methods, their practical applica-
tions, and getting comfortable using a computer language for implementation. Topics intended to
be covered are: root finding methods; system of linear equations; interpolation and polynomial ap-
proximation; numerical differentiation and integration; numerical methods for ordinary differential
equations and partial differential equations; numerical methods for stochastic differential equations;
basic Monte-Carlo simulations; financial applications, in particular, the Black-Scholes equation.
Textbook: Numerical Analysis (second edition), Author: Timothy Sauer. ISBN: 0321783670.