uwloo

CS 676Numeric Computation for Financial Modelling

Units
0.50
Level
Graduate
Faculty
Mathematics
Subject
Computer Science

When it runs

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

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

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.

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 00157470 / 10MW 13:00–14:20
TST 10164120 / 10Mar 3 16:30–18:20

Discussed on r/uwaterloo

2 posts and comments in 2 threads mention CS 676, March 2015 to December 2024. Quoted word for word, newest first; each reply sits under the post and the comment that started its branch. Search r/uwaterloo for newer posts.

Winter 2018

Winter 2015

Check it elsewhere for Fall 2026

Calendar versions

Graduate Calendar

Older Graduate Calendars

In 42 terms, Fall 2006 to Winter 2024