The use of computers makes modern finance possible. Most of the mathematics behind the risk management techniques and pricing models would be of no practical use without automated solvers, scenario builders, and other algorithms. This class concentrates on translating from ideas and mathematics to the practicalities of implementation. We will begin with a brief motivating discussion and then address various kinds of financially relevant algorithms, paying special attention to the two most important features of any scheme: (1) how it can go wrong and (2) how it can be calibrated. Our topic list will include optimizers, quadrature, fast fourier transforms, grid PDE solvers, and Monte Carlo techniques.
[(MSF 504 and MSF 505)]