Higham, D.J. (2004) *Black-Scholes for scientific computing students.* Computing in Science and Engineering, 6 (6). pp. 72-79. ISSN 1521-9615

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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 Prize-winning Black-Scholes option valuation theory to motivate exercises in Monte Carlo simulation, matrix computation, and numerical methods for partial differential equations (PDEs).

Item type: | Article |
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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 |

Related URLs: | |

Depositing user: | Ms Sarah Scott |

Date Deposited: | 21 Feb 2006 |

Last modified: | 04 Sep 2014 13:20 |

URI: | http://strathprints.strath.ac.uk/id/eprint/162 |

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