Carnegie Mellon University

Numerical Methods

Professor: Alexandra Klimova

Department: Math

Course Number: 46950

Description: This course covers numerical methods relevant to solving the partial differential equations of mathematical finance and fitting yield curves. Theoretical and practical issues are treated. Topics include (but are not limited to): background materials in partial differential equations, examples of exact solutions including Black Scholes and its relatives, finite difference methods including algorithms and question of stability and convergence, forward equation and the Dupire's formula, model calibration, exotic option and free boundary problem; yield curve fitting including bootstrapping non-parametric approach, parametric approach and smoothing splines.

Prerequisites: 46944