Numerical Methods for Differential Equations in Finance

This course covers exact solutions of ordinary and partial differential equations, as well as numerical solutions to these differential equations using finite difference methods. The financial applications include the Black-Scholes model and corresponding formulas, as well as practical issues of computing implied volatilities for American and European options from market data. The course will provide students with practical numerical tools for financial derivatives valuation. MTH 4115 can be used as an elective within the actuarial science and mathematics majors, as an elective within the mathematics minor, as a required course for the proposed financial engineering major, or an a general elective for the BA, BBA, or BS degrees.Prerequisite: MTH 3030 or MTH 3050, MTH 4100.

029377