Syllabus

Numerical Analysis (22:839:510)

Spring 2010 Section & Index Number: 40-70192 Class times: Wednesday 6-9 pm Location: 1WP-402 Instructor: Qidong (Tony) Zhang 609-785-1686 (H) 732-331-7983 (M) qidong@gmail.com Office hours: By appointment Textbook: No textbook required

Recommended: 1. Kendall E. Atkinson, An Introduction to Numerical Analysis, Second Edition. 2. R. Seydel: Tools for Computational Finance can serve as a reference as to the level and topics of the class. 3. Option, future and other derivatives, John Hull, seventh edition

Assessment: Homework: 30%

Midterm: 30% Final: 40% Class material: As need arises supplementary material will be used Topics: Building blocks of the Wall Street quant’s toolset

Some classical probability problems leading to Brownian Motion Gaussian copula and its problem Basics of numerical analysis

Binomial models Principles and methods of Monte Carlo simulation Finite difference methods for PDE/SDE Option valuation by Monte Carlo methods Option valuation by finite difference methods Curve constructions: interpolation and smoothing techniques Term structure of interest rate modeling