WClasses

CS 676 - Numeric Computation for Financial Modelling

The interaction of financial modes, 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 Black-Scholes equation. Discretization, stability, convergence. Methods for portfolio optimization, effect of data errors on portfolio weights. (Heldwith CS 476).

Prerequisites

Corequisites

None

Antirequisites

None

Offerings

Winter 2026 [1261]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5944	5 / 10	14:30 - 15:50	M,W
TST 101	8501	5 / 10

Winter 2025 [1251]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	6031	5 / 20	10:00 - 11:20	M,W
TST 101	8777	5 / 20	19:00 - 20:50	Th

Winter 2024 [1241]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	6057	6 / 20	13:00 - 14:20	M,W

Winter 2023 [1231]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	6192	4 / 20	11:30 - 12:50	M,W	MC 2035	Yuying Li

Winter 2022 [1221]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	6065	21 / 20	16:00 - 17:20	M,W	MC 2034	Yuying Li

Winter 2021 [1211]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 041	6116	8 / 20				Yuying Li

Winter 2020 [1201]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5965	4 / 20	14:30 - 15:50	M,W	E2 1732	Yuying Li

Winter 2019 [1191]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5843	5 / 20	11:30 - 12:20	M,W,F	E2 1732	Yu Ying Li

Winter 2018 [1181]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5904	7 / 20	10:30 - 11:20	M,W,F	AL 208	Yu Ying Li

Winter 2017 [1171]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5640	16 / 20	11:30 - 12:20	M,W,F	E2 1303	Yu Ying Li

Winter 2016 [1161]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	6189	25 / 22	14:30 - 15:20	M,W,F	MC 4040	Peter Forsyth

Winter 2015 [1151]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5983	12 / 20	11:30 - 12:20	M,W,F	MC 2054	Wei Xu

Winter 2014 [1141]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5808	13 / 20	11:30 - 12:20	M,W,F	DWE 3516	Peter Forsyth

Winter 2013 [1131]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5577	14 / 20	13:30 - 14:20	M,W,F	QNC 2502	Yu Ying Li

Winter 2012 [1121]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5390	21 / 20	13:30 - 14:20	M,W,F	RCH 110	Peter Forsyth

Winter 2011 [1111]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5374	25 / 20	15:30 - 16:20	M,W,F	B2 350	Peter Forsyth

Winter 2010 [1101]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5400	6 / 20	15:30 - 16:20	M,W,F	MC 2035	Yu Ying Li

Winter 2009 [1091]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	4712	27 / 20	08:30 - 09:50	T,Th	MC 4042	Yu Ying Li

Fall 2008 [1089]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	7371	0 / 25

Winter 2008 [1081]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	5528	9 / 5	08:30 - 09:50	T,Th	MC 4042	Peter Forsyth

Fall 2006 [1069]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3516	17 / 10	12:30 - 13:20	M,W,F	MC 4042	Peter Forsyth

Fall 2005 [1059]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3513	8 / 10	12:30 - 13:20	M,W,F,R,C,H		Peter Forsyth

Fall 2004 [1049]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3518	2 / 10	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	3462	5 / 10	11:30 - 12:20	M,W,F,M,C		Richard Simpson

Fall 2002 [1029]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	4662	3 / 10	11:30 - 12:20	M,W,F,M,C		Richard Simpson

Fall 2001 [1019]

Section	Class	Enrolled	Time	Days	Location	Instructor
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