Numerical Computation for Finance
| Numbering Code |
G-ECON31 6A212 SJ43 G-ECON31 6A212 SJ55 |
Year/Term | 2022 ・ First semester | |
|---|---|---|---|---|
| Number of Credits | 2 | Course Type | Seminar | |
| Target Year | Target Student | |||
| Language | Japanese | Day/Period | Mon.5 | |
| Instructor name | EGAMI MASAHIKO (Graduate School of Economics Professor) | |||
| Outline and Purpose of the Course | Students will study the numerical computation techniques necessary for financial engineering and the processes for using computers to solve the issues encountered in the business of finance. In fact, the value of derivative securities is determined far more often through numerical computation than through analysis; therefore, a grasp of this field is extremely important. Participants will write code in MATLAB and hone their practical skills. | |||
| Course Goals | To learn methods of numerical computation and the ability to apply them in practice | |||
| Schedule and Contents | Approximately two to three weeks are scheduled for each topic below. Naturally, the course will go beyond simple coding to consider the background financial theory as well. _x005F_x000D_ _x005F_x000D_ 1. Programming basics _x005F_x000D_ 2. Assigning value to derivative securities based on the lattice model _x005F_x000D_ 3. Numeric solutions to partial differential equations based on the finite difference method _x005F_x000D_ 4. Assigning value to derivative securities based on Monte Carlo simulations _x005F_x000D_ Feedback will be conducted in the final week. _x005F_x000D_ | |||
| Evaluation Methods and Policy | Grading will be based on attendance and presentations on programming topics. | |||
| Course Requirements | Applicants should have knowledge of probability and statistics. | |||
| Study outside of Class (preparation and review) | Presentations on topics are required as part of the review activities. | |||
| Textbooks | Textbooks/References | Not used | ||
| References, etc. | "Konputeeshonaru Fainansu" ("Computational Finance"), Moridaira, Soichiro and Yu Kojima. (Asakura Shoten) | |||
