Studying at York
Numerical & Computing Techniques in Finance (Online Version) - MAT00031M
Related modules
Pre-requisite modules
Co-requisite modules
- None
Prohibited combinations
- None
Module will run
| Occurrence | Teaching period |
|---|---|
| A1 | Semester 1 2024-25 |
| A2 | Semester 1 2024-25 to Semester 2 2024-25 |
| B1 | Semester 2 2024-25 |
| B2 | Semester 2 2024-25 to Semester 1 2025-26 |
Module aims
The aim of the module is to provide programming skills required for the implementation of mathematical models in quantitative finance. The focus will be on the C++ programming language, which is widely accepted as the main tool amongst practitioners in the financial community. The implementation of a given model rarely narrows down to the pricing of a single particular financial instrument. Most often it is possible to devise general numerical schemes which can be applied to various types of derivatives. The code should be designed so that it easily integrates with the work of other developers and can be modified by other users. The student will learn such skills by writing C++ programs designed for pricing various types of derivatives, starting from the simplest discrete time models and finishing with continuous time models based on finite difference or Monte Carlo methods.
Module learning outcomes
By the end of the module, students should:
- be able to write comprehensive C++ programs;
- be familiar with functions and function pointers;
- be familiar with classes and handle virtual functions, inheritance and multiple inheritance;
- be able to implement non-linear solvers;
- be familiar with data structures and dynamic memory allocation;
- understand and have experience of using class and function templates;
- be familiar with standard numerical methods (finite difference, Monte Carlo) for solving representative problems;
- be able to price European and American options under the CRR model;
- be able to price American options by means of finite difference methods under assumptions of the Black Scholes model;
- be able to price barrier and Asian options by means of Monte Carlo simulation.
Indicative assessment
| Task | % of module mark |
|---|---|
| Coursework - extensions not feasible/practicable | 100 |
| Oral presentation/seminar/exam | 0 |
Special assessment rules
None
Indicative reassessment
| Task | % of module mark |
|---|---|
| Coursework - extensions not feasible/practicable | 100 |
| Oral presentation/seminar/exam | 0 |
Module feedback
Information currently unavailable
Indicative reading
1. K. Back, A course in Derivative Securities: Introduction to Theory and Computation.
2. D.J. Duffy, Introduction to C++ for Financial Engineers. An Object-Oriented Approach, John Wiley & Sons (2006).
3. P. Glasserman, Monte Carlo Methods in Financial Engineering.
4. M. Joshi, C++ Design Patterns and Derivatives Pricing, Cambridge University Press (2004).
5. D. Lamberton, B. Lapeyre Introduction to Stochastic Calculus Applied to Finance, Second Edition, Chapman & Hall/Crc Financial Mathematics Series.
6. P. Wilmott, Paul Wilmott Introduces Quantitative Finance, John Wiley & Sons, Chichester (2001).
7. D. Yang, C++ and Object-Oriented Numeric Computing for Scientists and Engineers.