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ACTSC 447Numerical Computation for Financial Modelling

Units
0.50
Faculty
Mathematics
Subject
Actuarial Science
Cross-listed
CS 476

When it runs

  1. F24
  2. W25
  3. S25
  4. F25
  5. W26
  6. S26
  7. F26
  8. W27
  9. S27

Ran in 1 of the last 7 terms. Winter 2027: scheduled, 2 lecture sections. Spring 2027: schedule not out yet.

The interaction of financial models, 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 the Black-Scholes equation. Discretization, stability, convergence. Methods for portfolio optimization, effect of data errors on portfolio weights.

Prerequisites

  • Complete all of the following
    • Must have completed at least 1 of the following:
      • AMATH242 - Introduction to Computational Mathematics (0.50)
      • CS370 - Numerical Computation (0.50)
      • CS371 - Introduction to Computational Mathematics (0.50)
    • Complete 1 of the following
      • Must have completed at least 1 of the following:
        • STAT231 - Statistics (0.50)
        • STAT241 - Statistics (Advanced Level) (0.50)
      • Earned a minimum grade of 60% in each of the following:
        • STAT206 - Statistics for Software Engineering (0.50)

Antirequisites

None listed.

Leads to

No course lists it as a requisite.

Winter 2027 sections

Enrolment from UW Open Data, which can trail Quest by up to two days. Instructors and rooms: Schedule of Classes.
SectionClassEnrolledMeets
LEC 00163410 / 36MW 13:00–14:20
LEC 701241310 / 9999Online or by arrangement
TST 10164130 / 36Mar 3 16:30–18:20

Check it elsewhere for Fall 2026

Calendar versions

Undergraduate Calendar