Mathematics | Numerical Methods in Finance
M472 | 8558 | Glassey
This section will focus on finance theory. P: M301 or M303, M311, M343, and
Computer Science C301 or FORTRAN programming experience (students with
experience in programming but not FORTRAN should consult the instructor).
Interpolation and approximation of functions, numerical integration and
differentiation, solution of non-linear equations, acceleration and
extrapolation, solution of systems of linear equations, eigenvalue problems,
initial and boundary value problems for ordinary differential equations, and
computer programs applying these numerical methods.