CS 676Numeric Computation for Financial Modelling
- Units
- 0.50
- Level
- Graduate
- Faculty
- Mathematics
- Subject
- Computer Science
CS 676 as listed in the Spring 2025 Graduate Calendar. The main page has the current version, when it runs, and seats.
The interaction of financial modes, numerical methods, and computing environments. Basic computational aspects of option pricing and hedging. Numerical methods for stochastic differential equations, strong and weak convergence. Generating correlated random numbers. Time-stepping methods. Finite difference methods for Black-Scholes equation. Discretization, stability, convergence. Methods for portfolio optimization, effect of data errors on portfolio weights. (Heldwith CS 476).
Prerequisites
None listed.
Antirequisites
None listed.
Leads to
No course lists it as a requisite.
Check it elsewhere for Spring 2025
- Graduate Calendar, Spring 2025The archived entry
- Requirements for Spring 2025Waterloo’s requisite checker
- Course outlinesSyllabi from past terms (UW login)
- UW FlowStudent ratings and reviews
- WClassesPast sections back to 2004, and who taught them
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