FM 5012

Mathematical background for finance II

Spring 2010

Fast links:

• syllabus
• schedules
• current materials
• matlab
• my website
• the MFM website
• the Maths dept

This web page

• Syllabus with general information, including exam dates.
• Schedule of lectures and assignments.
• Lectures on Thurdays 5:30pm to 8:50pm in Physics 166 (with a break from 7:00pm to 7:15pm).
• My SLIDES for this class
• TA: Joe Benson (go to website)

Preliminary information:

• Textbook. Paolo Brandimarte Numerical Methods in Finance and Economics. A MATLAB-based introduction. 2nd edition. Wiley.
• Approximate distribution of time: 1/3 for basic numerical analysis; 1/3 for numerical PDEs (Black-Scholes pricing); 1/3 for MonteCarlo and stochastic simulation
• We'll put a lot emphasis in efficient MATLAB programming.
• The course will be mathematically rigorous but not proof oriented. There will be, however, plenty of demonstrations, showing with uncomplicated mathematical arguments why and how well methods work. Numerical analysis is a field of interaction of all branches of modern mathematics with computation and modelling. Be ready to break barriers.
• Deadlines will be very strict (up to a point).
• Evaluation: still to be decided. There'll be a final exam, some reasonably-sized homework projects (involving programming and more theoretical aspects) plus regular short control quizzes during the class time.

Literature and material from past years

• 2009. Sandra Paterlini. A link to her website is here.
• 2008. Bernardo Cockburn. His materials are here.

Programming in Matlab

We are going to devote some time to this. It's highly recommendable to get hold of some more-than-elementary textbook or manual on MATLAB for easy reference. Learning how to use the MATLAB help is also encouraged. I'll keep posting and updating some documents, guides, links and recommendations in a separate page: matlab.

Who am I?

You are encouraged to call me by my first (Francisco) or middle name (Javier). Nicknames, out of the list of acceptable ones, are also okay. I am specialized in numerical analysis and scientific computing. Method-wise, I am mainly a boundary element person, with hints of mixed finite elements and discontinuous Galerkin. I am also a "coupler" (user of several methods together for multiphysics problems.) Equation-wise, I have dealt with acoustic wave propagation, wave-structure interaction and viscous fluid flow.

To e-mail me, use sayas002 and then the usual umn.edu stuff. If you e-mail me, please tell me who you are and what class you are taking with me. It'll be a while until I get acquainted with all the names and faces, so it's better to know who we are. 

Disclaimer: The views and opinions expressed in this page are strictly those of the page author. The contents of this page have not been reviewed or approved by the University of Minnesota.