IOE 623 - Computational Finance
Section: 001
Term: WN 2018
Subject: Industrial and Operations Engineering (IOE)
Department: CoE Industrial and Operations Engineering
Requirements & Distribution:
Waitlist Capacity:
Advisory Prerequisites:
MATH 316 and MATH 425 or 525.
This course counts toward the 60 credits of math/science required for a Bachelor of Science degree.
May not be repeated for credit.
Primary Instructor:

This class is a course on mathematical finance with an emphasis on numerical and statistical methods. It is assumed that the student is familiar with basic theory of arbitrage pricing of equity and fixed income (interest rate) derivatives in discrete and continuous time. The course will focus on numerical implementations of these models as well as statistical methods for calibration, i.e., obtaining the parameters of the models. Specific topics include finite-difference methods, trees and lattices and Monte Carlo simulations with extensions.

Recommended Texts
The following texts are recommended to enhance class lecture notes:

  • Brigo and Mercurio: Interest Rate Models: Theory and Practice, Springer, 2007.
  • Wilmott, Howison, Dewynne: The Mathematics of Financial Derivatives, Cambridge, 1995.
  • Jaeckel: Monte Carlo Methods in Finance, Wiley, 2002.

    Course Requirements:

    No data submitted

    Intended Audience:

    Differential equations (e.g., MATH 316); basic probability theory (e.g., MATH 425, STATS 515); numerical analysis (MATH 471); mathematical finance (MATH 423 and MATH 542/IOE 552 or permission from instructor); programming (e.g., C, Matlab, Mathematica, Java).

    Class Format:

    No data submitted

IOE 623 - Computational Finance
Schedule Listing
001 (LEC)
TuTh 8:30AM - 10:00AM
NOTE: Data maintained by department in Wolverine Access. If no textbooks are listed below, check with the department.

Lecture notes will be posted online. However, few books may be useful.
ISBN: 9780387216171
Monte Carlo Methods in Financial Engineering, Author: by Paul Glasserman., Publisher: Springer New York 2003
ISBN: 9780521497893
The mathematics of financial derivatives : a student introduction, Author: by Paul Wilmott, Sam Howison, Jeff Dewynne., Publisher: Cambridge University Press Reprinted. 1995
ISBN: 9783540346043
Interest rate models theory and practice : with smile, inflation, and credit, Author: Damiano Brigo, Fabio Mercurio., Publisher: Springer 2nd ed. 2006
ISBN: 9780691089294
Credit risk modeling : theory and applications, Author: David Lando., Publisher: Univ. Press 2004
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