Higham, D.J. (2004) BlackScholes for scientific computing students. Computing in Science and Engineering, 6 (6). pp. 7279. ISSN 15219615

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Official URL: http://dx.doi.org/10.1109/MCSE.2004.62
Abstract
Mathematical finance provides a modern, attractive source of examples and case studies for scientific computing classes. In this installment of Education, I will show how educators can use the Nobel Prizewinning BlackScholes option valuation theory to motivate exercises in Monte Carlo simulation, matrix computation, and numerical methods for partial differential equations (PDEs).
Item type:  Article 

ID code:  162 
Keywords:  numerical analysis, Monte Carlo methods, finite difference methods, partial differential equations, financial data processing, binomial distribution, educational computing, Electronic computers. Computer science, Mathematics, Engineering(all), Computer Science(all) 
Subjects:  Science > Mathematics > Electronic computers. Computer science Science > Mathematics 
Department:  Faculty of Science > Mathematics and Statistics 
Depositing user:  Ms Sarah Scott 
Date Deposited:  21 Feb 2006 
Last modified:  20 Oct 2015 19:33 
URI:  http://strathprints.strath.ac.uk/id/eprint/162 
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