FIN40040

This module introduces many of the most important numerical methods used to solve scientific problems arising in financial applications. The module begins with an introduction to Python and the Python libraries NumPy and SciPy. The module then moves on to consider in some depth the solution of linear systems, numerical integration (including Monte Carlo methods), finite difference methods for partial differentiation, the solution of non-linear equations and numerical optimisation (including unconstrained and unconstrained optimisation). There are numerous Python examples used throughout each topic to illustrate the application of numerical methods in the area of quantitative finance.