This course covers exact solutions of ordinary and partial differential equations, as well as numerical solutions to these differential equations using finite difference methods. The financial applications include the Black-Scholes model and corresponding formulas, as well as practical issues of computing implied volatilities for American and European options from market data. The course will provide students with practical numerical tools for financial derivatives valuation.
Prerequisite: MTH 3020, MTH 3030, or MTH 3050 Pre/Corequisite: MTH 4100