| Numerical Methods with Matlab for Financial Mathematics | |
| MA 591 |
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Prof. Scroggs |
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Syllabus for MA 591 , Fall 2011Instructor: Jeffrey S. ScroggsOffice Hours: Posted at http://www4.ncsu.edu/~scroggs/mywebsite/OfficeVisits.html. Course Pre-requisitesKnowledge of Statistics, Calculus, Linear Algebra, Differential Equations. Learning OutcomesGoal: This is an introduction to elementary programming concepts with Monte Carlo techniques for options pricing. Starting with a problem suitable for mathematical analysis, students will be able to analyze the problem, and either identify appropriate Matlab tools to solve the problem, or create new tools. Scientific visualization is included . TopicsThe particular topics covered will likely be somewhat different than these, but here is the plan at the start of the semester
Textbook InformationRequired: Monte Carlo Methods and Models in Finance and Insurance, Ralf Korn, Elke Korn, Gerald Kroisandtt. Available from Amazon.com. Required: Matlab 7 or later (software). This software is available on the computers in the NCSU-operated labs. You may wish to purchase the Student Edition at the NCSU bookstore. You can also use the software via the Virtual Computer Lab (VCL).Required: USB drive Required: NUMERICAL COMPUT.W/MATHLAB-REV.REPRINT Ed: 1ST Yr: 2004, Cleve Moler,
ISBN: 97808987166 Required: Two "blue books", available from local bookstores. Recommended: Numerical Methods in Finance and Economics: A MATLAB-Based Introduction, Paolo Brandimart. Available from Amazon.com. Good book: Monte Carlo Methods in Financial Engineering, Paul Glasserman. Projected Schedule of Homework, Quizzes, and Exams
How Grades are Determined
HomeworkHomework is graded on a 3-point scale using the guidlines at this link. It is also covered by the quizzes and exams. Homework will be submitted electronically. Grades
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| Range | Grade |
|---|---|
| 97.6 <= X <= 100 | A+ |
| 92.3 <= X < 97.6 | A |
| 90.0 <= X < 92.3 | A- |
| 87.6 <= X < 90.0 | B+ |
| 82.3 <= X < 87.6 | B |
| 80.0 <= X < 82.3 | B- |
| 77.6 <= X < 80.0 | C+ |
| 72.3 <= X < 77.6 | C |
| 70.0 <= X < 72.3 | C- |
| 67.6 <= X < 70.0 | D+ |
| 62.3 <= X < 67.6 | D |
| 60.0 <= X < 62.3 | D- |
| X < 60 | F |
Incomplete grades will not be given. You must complete the assignments for the course as the semester progresses.
NCSU policy, including what constitutes an 'Excused Absence,' is covered in REG 02.20.3.
No late assignments will be accepted. The penalty for submitting an assignment late is a zero on the assignment.
Students are required to follow NCSU policy available at www.ncsu.edu/provost/academic_regulations/integrity/reg.htm. "Academic dishonesty is the giving, taking, or presenting of information or material by a student that unethically or fraudulently aids oneself or another on any work which is to be considered in the determination of a grade or the completion of academic requirements or the enhancement of that student's record or academic career." (NCSU Code of Student Conduct)
Much of the code you will be generating has probably already been written as a Matlab Demo or Matlab Function. If you are instructed to generate the code, use of predefined Matlab demos, or code from another source, will be considered a violation.
Homework. I encourage a free exchange of information regarding 'how to' accomplish the tasks in the homework. You can give and receive verbal assistance, write things down, point at the computer screen, nearly anything. If you do
Quizzes. You must work completely independently on quizzes.
Mid-term and final exam. You must work completely independently on exams. Do not talk with anybody except Dr. Scroggs regarding the content of the exam. You are suggested to not even talk about how the level of difficulty with other people.
Penalties for a violation: For the first violation, you will receive a zero on the assignment and be put on academic integrity probation for the remainder of your stay at NCSU. The second violation may result in your suspension from NCSU. Both situations will involve the Office of Student Conduct.
The Student Affairs web site has more information (http://www.ncsu.edu/student_affairs/osc/AIpage/acaintegrity.html).
The pledge, that you "have neither given nor received unauthorized aid on this test or assignment", is implicit in everything you turn in for this course. The penalty for non-compliance is mentioned above.
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