MATH3311 Mathematical Computing for Finance

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.