- Lectures / Notes
- Examples / Solutions
- C++ Support Course
- Reading List
Lectures and note for the course will appear here.
Introducing how the course is taught, what is to be expected and how it is assessed. We also introduce numerical errors.Download
Binomial Tree Method
We investigate how to code up the binomial tree method for financial options.Download
Analysis of the Binomial Tree Method
We investigate how to accurately price options with the binomial tree, taking into account the limitations of the method.Download
Second Order Finite Difference Methods
We go through the classic Crank-Nicolson differencing scheme, resulting in second order convergence.Download
Quadrature methods are a powerful tool that can be used as a semi analytic method. Convergence can be fourth order or higher.Download
Examples sheets and links to the solutions will appear here.
Examples Sheet 3
Generating random numbers from the uniform and normal distribution. How to calculate expected values using Monte Carlo simulation.Download
Examples Sheet 6
Step by step guide to writing an explicit finite difference algorithm, with worked examples and solutions.Download
Examples Sheet 7
Step by step guide to writing the Crank Nicolson finite difference algorithm, with worked examples and solutions.Download
Visual Studio 2013 at UoM
How to set up and run your first project on Visual Studio at the University of Manchester.Link
Reading list for the course.
The Mathematics of Financial Derivatives
Wilmott, P., Howison, S., Dewynne, J., "The Mathematics of Financial Derivatives", Cambridge University Press, (1995) ISBN: 0521497892
Paul Wilmott Introduces Quantitative Finance
Wilmott, P., 2001: "Paul Wilmott Introduces Quantitative Finance", 2nd Edition, Wiley. ISBN: 0471498629
An introduction to financial option valuation
Higham, D.J. 2004: "An introduction to financial option valuation". Cambridge University Press. ISBN: 0521547571
Options, Futures and other Derivatives
Hull, J. C., 2002: "Options, Futures and other Derivatives", 5th edition, Prentice Hall. ISBN: 0130465925.