Math 586: Computational Finance
Course Information
 Title: Computational Finance
(4 hours)
 Lecture Time: Monday/Wednesday/Friday 9am  9:50am
 Lecture Location: Addams Hall 311
Personal Information
 Office: 1219 Science and Engineering Offices (SEO)
 Email: davidn ((at)) uic ((dot)) edu
Office Hours
 Time: Wednesdays, 2pm  3pm, or by appointment.
 Location: SEO 1219
Textbooks
 Wilmott, Howison, Dewynne,
The Mathematics of Financial Derivatives: A Student Introduction.
Other References (Finance)
 Higham, An Introduction to Financial
Option Valuation: Mathematics, Stochastics and Computation.
 Baxter and Rennie, Financial Calculus: An Introduction to
Derivative Pricing.
 Hull, Options, Futures, and Other Derivatives (Sixth Edition).
 Brandimarte, Numerical Methods in Finance and Economics:
A MATLABBased Introduction (Second Edition).
 Seydel, Tools for Computational Finance.
 Kwok, Mathematical Models of Financial Derivatives
(Second Edition).
 Wang, Monte Carlo Simulation with Applications to Finance.
Other References (Numerical Methods)
 Strikwerda, Finite Difference Schemes and Partial Differential
Equations (Second Edition).
 Johnson, Numerical Solution of Partial Differential Equations
by the Finite Element Method.
 Higham & Higham, MATLAB Guide (Third Edition).
 Burden & Faires, Numerical Analysis, (Ninth Edition).
 Faires & Burden, Numerical Methods, (Fourth Edition).
 Cheney & Kincaid, Numerical Mathematics and Computing,
(Seventh Edition).
Grading
Homeworks (WHD: Wilmott, Howison, & Dewynne; H:Higham; BR: Baxter & Rennie; J: Johnson; W: Wang)
Schedule (WHD: Wilmott, Howison, & Dewynne; H:Higham; BR: Baxter & Rennie; J: Johnson; W: Wang)
Week 
Mon 
Wed 
Fri 
1 
Course Intro H: 1 
H: 2, 3 
H: 4, 5, 6 
2 
MLK DAY 
H: 6, 7 MATLAB Demo 
H: 8, 10 
3 
H: 13, 14 
WHD: 2, 3 
H: 18, WHD: 7 
4 
WHD: 4 
WHD: 4, 5 
WHD: 8 
5 
WHD: 8 
WHD: 8 
WHD: 8 
6 
WHD: 7 
WHD: 9, NW: 12 
NW: 12 
7 
J: 1 
J: 1 
J: 1 

8 
J: 1, 8 
WHD: 9 [FEM] 
WHD: 9 [FEM] 

9 
BR: 0, 1 
BR: 2 
BR: 2 

10 
BR: 2 
BR: 2 
BR: 2, H: 16 

11 
H: 16, 24 
H: 12, 15 
H: 21 

12 
H: 22, W: 6.1 
H: 20, W: 6.2 
W: 6.3 

13 
W: 7.1 
W: 7.2 
W: 7.2 

14 
TBA 
TBA 
TBA 

15 
TBA 
TBA 
TBA 

MATLAB Documentation