IE523: Financial Computing
Fall, 2014
Lesson 3: Root Finding Methods
c Prof. R.S. Sreenivas
We will restrict ourselves to the problem of nding the roots of a function of a
single variable we have a function f (x) and we wish to nd one (or maybe all) rs
su

IE523: Financial Computing
Fall, 2013
Lesson 6: Computational Aspects of Option Pricing
c Prof. R.S. Sreenivas
In this lesson we will cover Binomial Option Pricing Models, followed by Option
Pricing Models that use Dynamic Programming. Although we verify

IE523: Financial Computing
Fall, 2014
Lesson 2: Linear Algebra, NEWMAT and LP Solve
c Prof. R.S. Sreenivas
1
Vectors and Vector Operations
If x 2 Rn is a n-dimensional vector, it would help to visualize it as an arrow starting
from the origin and terminat

IE523: Financial Computing
Fall, 2014
Lesson 10: Computing the Median via the (Recursive)
Median-of-Medians Algorithm
c Prof. R.S. Sreenivas
An O(n) algorithm for selecting the k-th smallest/largest element (k n) in
a list of n elements is due to Blum et

IE523: Financial Computing
Fall, 2014
Lesson 7: Pricing Exotic Options: European Continuous- and
Discrete- Barrier Options
c Prof. R.S. Sreenivas
We will look at the problem of pricing two Exotic European Options the Continuousand Discrete-European Barrie

IE523: Financial Computing
Fall, 2014
Lesson 9: Simulation
c Prof. R.S. Sreenivas
As noted earlier, the asset price is determined by the stochastic dierential equation
dS
= dX + dt
S
where dX has the following properties:
1. dX is a normal variate,
2. the

IE523: Financial Computing
Fall, 2014
Lesson 8: Pricing an American-Asian Option using the Hull-White
Interpolation Method
c Prof. R.S. Sreenivas
In lesson 6 we priced an American-Asian Option using a recursive routine. Since
the Asian option is path depe

IE523: Financial Computing
Fall, 2014
Lesson 1: Recursion
c Prof. R.S. Sreenivas
This handout is meant for those of you who are unfamiliar with the use of
recursion in programming. Many mathematical concepts lend themselves to a
natural, recursive denitio

IE523: Financial Computing
Fall, 2014
Lesson 4: Taylors Series & Its use in Bond Portfolios
c Prof. R.S. Sreenivas
1
Taylors Series
If f : is a function that maps a real-number to another real-number, and
suppose this function has all of its derivatives (

MSFE: C+ Bootcamp
Fall, 2014
(Lightning) Review of C+
c Prof. R.S. Sreenivas
We will cover the basics of C+ in this lesson. Most of the examples are
from [1]. My objective is to bring everyone to a level of comfort and familiarity
with C+ so that you can

IE523: Financial Computing
Fall, 2014
Lesson 5: Computational Aspects of Probability, Statistics
and Simulation
c Prof. R.S. Sreenivas
1
Random Number Generators
The random number generator is conceptually the heart of any simulation software. To understa