## MSc in Mathematics and Finance

### Finite Difference Methods, Summer 2011

#### Course material

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

#### Lecture Slides

- Part I
- Part II

#### Problem sets

- Problems 1
- Problems 2
- Problems 3
- Coursework Project
- Revision Checklist

#### Examinations

- January 2009 Examination paper, solutions
- June 2010 Examination paper, solutions

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