WClasses

CS 476 - Numerical Computation for Financial Modelling

The interaction of financial models, numerical methods, and computing environments. Basic computational aspects of option pricing and hedging. Numerical methods for stochastic differential equations, strong and weak convergence. Generating correlated random numbers. Time-stepping methods. Finite difference methods for the Black-Scholes equation. Discretization, stability, convergence. Methods for portfolio optimization, effect of data errors on portfolio weights.

Prerequisites

(AMATH242/CS371 or CS370) and (STAT206 with at least 60% or STAT231 or STAT241)

Corequisites

None

Antirequisites

None

Offerings

Winter 2026 [1261]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5930	77 / 80	14:30 - 15:50	M,W
TST 101	6600	77 / 80

Winter 2025 [1251]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	6017	67 / 70	10:00 - 11:20	M,W
TST 101	8778	67 / 70	19:00 - 20:50	Th

Winter 2024 [1241]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	6043	56 / 70	13:00 - 14:20	M,W

Winter 2023 [1231]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	6176	40 / 70	11:30 - 12:50	M,W	MC 2035	Yuying Li

Winter 2022 [1221]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	6049	54 / 70	16:00 - 17:20	M,W	MC 2034	Yuying Li

Winter 2021 [1211]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 041	6100	61 / 80				Yuying Li

Winter 2020 [1201]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5949	57 / 60	14:30 - 15:50	M,W	E2 1732	Yuying Li

Fall 2019 [1199]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	9812	1 / 1

Winter 2019 [1191]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5827	59 / 60	11:30 - 12:20	M,W,F	E2 1732	Yu Ying Li

Winter 2018 [1181]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5886	55 / 60	10:30 - 11:20	M,W,F	AL 208	Yu Ying Li

Winter 2017 [1171]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5622	48 / 50	11:30 - 12:20	M,W,F	E2 1303	Yu Ying Li

Winter 2016 [1161]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	6170	44 / 50	14:30 - 15:20	M,W,F	MC 4040	Peter Forsyth

Winter 2015 [1151]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5962	43 / 50	11:30 - 12:20	M,W,F	MC 2054	Wei Xu

Winter 2014 [1141]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5786	39 / 50	11:30 - 12:20	M,W,F	DWE 3516	Peter Forsyth

Winter 2013 [1131]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5555	46 / 70	13:30 - 14:20	M,W,F	QNC 2502	Yu Ying Li

Winter 2012 [1121]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5366	34 / 40	13:30 - 14:20	M,W,F	RCH 110	Peter Forsyth
LEC 002	8357	2 / 1

Winter 2011 [1111]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5346	32 / 45	15:30 - 16:20	M,W,F	B2 350	Peter Forsyth

Winter 2010 [1101]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5354	43 / 46	15:30 - 16:20	M,W,F	MC 2035	Yu Ying Li

Winter 2009 [1091]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	4639	14 / 40	08:30 - 09:50	T,Th	MC 4042	Yu Ying Li

Winter 2008 [1081]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	4924	31 / 55	08:30 - 09:50	T,Th	MC 4042	Peter Forsyth

Fall 2006 [1069]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3709	21 / 45	12:30 - 13:20	M,W,F	MC 4042	Peter Forsyth

Fall 2005 [1059]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	4778	34 / 45	12:30 - 13:20	M,W,F,R,C,H		Peter Forsyth

Fall 2004 [1049]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3310	16 / 25	12:30 - 13:20	M,W,F,R,C,H		Bruce James Simpson

Fall 2003 [1039]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3232	14 / 23	11:30 - 12:20	M,W,F,M,C		Richard Simpson

Fall 2002 [1029]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3110	14 / 20	11:30 - 12:20	M,W,F,M,C		Richard Simpson

Fall 2001 [1019]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	2906	9 / 20	11:30 - 12:20	M,W,F,P,H,Y		Richard Simpson