ChapterI - Numerical & Simulation Techniques in...

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Unformatted text preview: Numerical & Simulation Techniques in Finance FRE 6251 Chapter I Edward D. Weinberger, Ph.D, F.R.M. Adjunct Assoc. Professor Polytechnic University edw@panix.com THE PURPOSE OF COMPUTING IS INSIGHT, NOT NUMBERS--- R. W. Hamming COURSE OBJECTIVES To familiarize students with what makes a good method some important methods EXCEL/VBA To teach the informed use of numerical methods in packages COURSE ORGANIZATION Grade based on Two algorithm implementations (50%) An in-class final exam (50%) Required texts: Numerical Methods in C ( ++ ) by Frank Press , et. al. (available free at http://www.nrbook.com/a/bookcpdf.php Options, Futures and Other Derivatives ` TOPIC SCHEDULE (Approximate!) I. Root finding in 1 or more dim II. Ordinary Differential Eqns. (ODEs) III. Partial Differential Eqns. (PDEs) IV. Numerical Integration V. Interpolation VI. Optimization of smooth functions OUTLINE Chapter I VBA survey for programmers Machine numbers 1 dim root finding methods bisection secant method Newtons method Newtons method in >1 dim ODE solvers VBA for Programmers VBA NOT industrial strength, unlike C++ (VBA not really OO) Visual Basic for Applications (VBA) is macro language for all MS Office Built-in references to relevant objects EXCEL/VBA has Range, Cell, Worksheet objects (see HELP) More VBA for Programmers EXCEL functions accessible in VBA, Applications.WorksheetFunction.min() Immediate window Integrated development environment Record Macro to get hints MACHINE NUMBERS AS SUBSETS OF R...
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ChapterI - Numerical & Simulation Techniques in...

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