COURSE·FQF2007

Numerical Methods for Computational Finance

Quantitative Methods & Mathematics

24 Chapters

Offered in

Finance & Quantitative FinanceFQF2007coreQuantitative Finance

Chapters

Ch 1FREE

Limits, Continuity, and Differentiation

16 min

Ch 2FREE

Metric Spaces and Contraction Mappings

13 min

Ch 3

Vector Spaces and Linear Transformations

15 min

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Ch 4

Inner Product Spaces and Norms

15 min

Ch 5

Theory of Ordinary Differential Equations

15 min

Ch 6

One-Step Methods for Initial Value Problems

12 min

Ch 7

Multistep Methods and Stiff Solvers

12 min

Ch 8

Matrix Differential Equations and Markov Processes

11 min

Ch 9

Stochastic Differential Equations Theory and Numerics

14 min

Ch 10

Matrix Decompositions and Direct Solvers

15 min

Ch 11

Iterative Methods for Large Linear Systems

10 min

Ch 12

Classification and Transformation of PDEs

15 min

Ch 13

Finite Difference Foundations Consistency, Stability, Convergence

14 min

Ch 14

Finite Differences for Convection-Diffusion Problems

11 min

Ch 15

Boundary Value Problems for ODEs and Elliptic PDEs

13 min

Ch 16

Parabolic Equations and Initial-Boundary Value Problems

14 min

Ch 17

Operator Splitting and Alternating Direction Methods

14 min

Ch 18

Alternating Direction Explicit (ADE) Methods

16 min

Ch 19

Method of Lines and Matrix Exponential Integration

14 min

Ch 20

Free and Moving Boundary Problems

14 min

Ch 21

Multi-Asset Options and Stochastic Volatility Models

15 min

Ch 22

Monotone Discretisations for Mixed Derivatives

12 min

Ch 23

Sensitivity Analysis and Algorithmic Differentiation

14 min

Ch 24

Modular Software Design for PDE Frameworks

13 min