Guidelines to Project Proposal and Report Marking
A single score out of 10 under each heading is selected. As a guide to calibration: 3 = "failing", 5 =
"satisfactory", 7 = "good", 9 = "excellent". Th
Evaluation Form for an Oral Presentation
Title:_
Members:_
1. Determine the confidence of the speaker. The speaker should be comfortable and easily connect
with the audience. If a speaker acts uncomfo
MATH 6911
Numerical Methods in Finance
Hongmei Zhu
Department of Mathematics & Statistics
York University
[email protected]
Math6911 , HM Zhu
Motivations on Financial Mathematics
Quants: The Alchemists o
Question
How to generate samples according to standard
normal distribution N(0,1) from U(0, 1) ?
Math6911,
, HM ZHU
Generate a general distribution
F(x) from U(0, 1):
Inversion Method
Given the distr
3. Monte Carlo Simulations
Math6911 , HM Zhu
References
1. Chapters 4 and 8, Numerical Methods in Finance
2. Chapters 17.6-17.7, Options, Futures and Other
Derivatives
3. George S. Fishman, Monte Carl
Math 6911 W2015: Suggested Project List
In the course projects, you are expected to learn about the methods, implement them and
then test its computational accuracy and efficiency and comments on its
August 16, 2012
A Brief History of Bond Market Disasters
Those who cannot remember the past are condemned to repeat it. George Santayana
The History of Bonds
The Eisenhower Recession Multiple-Year Bon