ChapterI - Numerical& Simulation Techniques in Finance...

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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 [email protected] 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. (ODE’s) III. Partial Differential Eqns. (PDE’s) 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 • Newton’s method • Newton’s 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 Finance...

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