University of Technology Sydney

37006 Numerical Methods in Finance

Requisite(s): 24 credit points of completed study in spk(s): STM91543 Core Subjects (Mathematics)
These requisites may not apply to students in certain courses. See access conditions.
Anti-requisite(s): 25874 Numerical Methods in Finance



This subject presents various numerical methods used in quantitative finance. It provides a rigorous understanding of advanced numerical and statistical methods. Emphasis is on simulation methods for solving stochastic differential equations, their systematic application and their links to finite difference and other numerical methods. The subject also covers the theoretical and practical aspects of numerical methods for pricing and hedging options. There is a strong emphasis on programming, with students learning how to implement the various techniques themselves.

The combination of theory and practical, real-world examples and problems promote enquiry and critical thinking. Innovation and creativity are required to successfully solve problems in the assessment tasks where communication is also critical to clearly explain solutions to the questions asked.

Detailed subject description.

Access conditions

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