MSc in Mathematics and Finance

Finite Difference Methods, Summer 2011


Course material

  1. Course outline.
  2. Test DLL. (Zip file.)
  3. Code for Black-Scholes Option class. (Zip file.)
  4. Building a yield curve generator
  5. Black-Scholes Article
  6. Summary Notes
  7. Cubic splines
  8. American options in the binomial model [New revised version 7/6/11]
  9. Trinomial tree approximation to Brownian motion
  10. Coordinate transformations in the Black-Scholes formula
  11. The Dupire Formula
  12. Explicit PDE solving on a spreadsheet (Excel file)

Lecture Slides

  1. Part I
  2. Part II

Problem sets

  1. Problems 1
  2. Problems 2
  3. Problems 3
  4. Coursework Project
  5. Revision Checklist

Examinations

  1. January 2009 Examination paper, solutions
  2. June 2010 Examination paper, solutions

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