Financial Computing III

Course Number: 46903/46950

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. Non-MSCF students may not take this course without written permission from the instructor. To be eligible, you must be a BSCF student, or a graduate student enrolled in an MSCF participating college/department (Stats & Data Science, Heinz, Tepper, Computer Science Dept.,or Math Sciences). PhD students with relevant research may be eligible with permission from the instructor.

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