Numerical Methods in Finance. Part A.

Lecture Notes: an updated version will be published as the term progresses

Chapter 1 (Last update: 06.10.2010)

Chapter 2 (Last update: 20.10.2010)

Chapter 3 (Last update 11.11.2010)

Chapter 4 (Last update 10.12.2009)

 

Term Project. Submission deadline: 14.12.2010, 12:00. NOTE THE NEW DATE!!!

Project description

Historical option prices - courtesy of a free download from http://www.historicaloptiondata.com/

 

Important remarks, please read

1. The project's description will appear on line on Monday, November the 29th before noon
2. Project report must NOT be longer than 20 pages
3. Your final submission should consist of two parts: a text or PDF file containing the report AND a ZIP file with all the m-files you created in order to complete the project. Only electronic submissions are accepted by WBS. Please contact FM MSc office if you have technical problems with the submission.

 

Supporting materials

Perron-Frobenius Theorem (by Aaron Lauve)

MATLAB proficiency test

Linestyles in MATLAB

An elementary introduction to large deviations (.ps file)

An elementary introduction to large deviations (.pdf file)

Second week MATLAB exercises: http://www.facstaff.bucknell.edu/maneval/help211/exercises.html

Check here for basic info on Student's t-distribution

Week 5 solutions: exercise 1, exercise 2