Carnegie Mellon University

Financial Computing III

Course Number: 46903/46950

Concentration: Mathematics
Semester(s): Spring, Mini 4
Required/Elective: Required
Prerequisite(s): 46901, 46902, 46944

In Financial Computing III we implement in C++ the key numerical routines used in financial industry. The topics include spline interpolation, least-square fitting, Chebyshev's approximation, finite-differences, Fast Fourier Transform, integration of discontinuous functions, and adjoint differentiation. As usual, examples and homework exercises will be drawn from finance-related sources.