Numbering Code	U-ECON00 30030 SJ43 U-ECON00 40040 SJ43	Year/Term	2022 ・ First semester
Number of Credits	2	Course Type
Target Year		Target Student
Language	Japanese	Day/Period	Wed.4
Instructor name	EGAMI MASAHIKO (Graduate School of Economics Professor)
Outline and Purpose of the Course	You will learn the numerical techniques needed for financial engineering. Specifically, you will learn how to solve problems encountered in finance practice on a computer. It is very important to keep this field in mind, as there are predominantly cases in which the price of derivative securities is sought through numerical calculations rather than cases seeking analytic solutions. We aim to enhance students' practical skills by having participants write code in MATLAB, etc.
Course Goals	Learn the theories, algorithms, and code implementation of the numerical calculations required for financial engineering
Schedule and Contents	We plan to cover the following content, spending 2 to 3 weeks per topic. Of course, we will not just be coding; we will also examine the underlying finance theory. 1. Programming basics 2. Pricing of derivative securities using a lattice model (1) Parameter settings (2) Derivative securities related to two assets 3. Numerical solution of PDE by finite difference method (1) Explicit method (2) Implicit method
Evaluation Methods and Policy	Evaluation is based 100% on participation points. The evaluation of participation includes participation in class, assignment submission, and comments in class.
Course Requirements	Knowledge of derivatives, linear algebra, and probabilities and statistics
Study outside of Class (preparation and review)	The submission of assignments is mandatory. These will serve as review material.
Textbooks	Textbooks/References	Will not be used.
References, etc.	Soichiro Morihira, Hiroshi Kojima "コンピュテーショナル・ファイナンス" (Asakura Shoten, 1997)