course handout MATH3311 is a Mathematics Level III course. See the course overview below.

**Units of credit:** 6

**Prerequisites: (**MATH2121 or MATH2221 or MATH2111) and (MATH2501 or MATH2601) and (MATH2801 or MATH2901 or MATH2871)

**Exclusion courses: **MATH5335

**Cycle of offering:** Term 2

**Graduate attributes:** The course will enhance your research, inquiry and analytical thinking abilities.

**More information: **This recent course handout (pdf) contains information about course objectives, assessment, course materials and the syllabus.

The Online Handbook entry contains up-to-date timetabling information.

If you are currently enrolled in MATH3311, you can log into UNSW Moodle for this course.

#### Course Aims

Ultimately finance is concerned with making definite numerical recommendations which frequently can only be obtained by analysing sophisticated models using high-speed computers. This course studies the design, implementation and use of computer programs to solve practical mathematical problems of relevance to finance, insurance and risk management.

#### Course Description

In the end, finance is concerned with making definite numerical recommendations which frequently can only be made by analysing sophisticated models using high-speed computers. This course studies the design, implementation and use of computer programs to solve practical mathematical problems of relevance to finance, insurance and risk management. A review of MATLAB, floating point numbers, rounding error and computational complexity. A selection of topics from: approximation and parameter estimation, Fourier series and the FFT, finite difference approximations, partial differential equations (heat equation), sparse linear systems, non-linear algebraic equations, trees, Monte Carlo methods and simulation, random numbers and variance reduction, numerical integration. Computing environments for mathematical finance. Practical examples and programming assignments using MATLAB.