MTH 9821
Numerical Methods for Finance · 3 credits · Spring 2027
About this course
Finite difference methods are discussed and implemented for valuating derivative securities such as plain vanilla European and American options, Bermudan options and barrier options. Numerical linear algebra methods used for finite difference solvers, including LU and Cholesky decompositions and iterative (Jacobi, Gauss-Siedel, SOR, and PSOR) methods are also implemented.
Seat status as of Oct 2, 10:36 AM ET. Seats can change between refreshes.
No sections have been posted for this course in this term yet.