Module Details |
The information contained in this module specification was correct at the time of publication but may be subject to change, either during the session because of unforeseen circumstances, or following review of the module at the end of the session. Queries about the module should be directed to the member of staff with responsibility for the module. |
Title | NUMERICAL ANALYSIS FOR FINANCIAL MATHEMATICS | ||
Code | MATH371 | ||
Coordinator |
Dr H Assa Mathematical Sciences H.Assa@liverpool.ac.uk |
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Year | CATS Level | Semester | CATS Value |
Session 2016-17 | Level 6 FHEQ | Second Semester | 15 |
Aims |
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Learning Outcomes |
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Syllabus |
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1 |
1
Basics
Binomial and trinomial tree methods in mathematical option pricing
Basics of Monte Carlo methods in mathematical option pricing 4
Numerical methods for ordinary and stochastic differential equations |
Recommended Texts |
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Reading lists are managed at readinglists.liverpool.ac.uk. Click here to access the reading lists for this module. Explanation of Reading List: |
Pre-requisites before taking this module (other modules and/or general educational/academic requirements): |
MATH264; MATH101; MATH102; MATH103; MATH111; MATH162; MATH201 |
Co-requisite modules: |
Modules for which this module is a pre-requisite: |
Programme(s) (including Year of Study) to which this module is available on a required basis: |
Programme:G1N3 Year:3 |
Programme(s) (including Year of Study) to which this module is available on an optional basis: |
Assessment |
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EXAM | Duration | Timing (Semester) |
% of final mark |
Resit/resubmission opportunity |
Penalty for late submission |
Notes |
Written Exam | 2.5 hours | 2 | 100 | Standard University Policy | Assessment 1 Notes (applying to all assessments) Written Exam | |
CONTINUOUS | Duration | Timing (Semester) |
% of final mark |
Resit/resubmission opportunity |
Penalty for late submission |
Notes |