Time and Place: MWF 200 Lov 12:20-1:10
Instructor: David A. Kopriva
Contact Info: 112 Lov; 645-0185 (office); 644-2202 (front desk, math)
email: kopriva@math.fsu.edu; webpage: www.math.fsu.edu/~kopriva
Office Hours: MWF 11:00-12:00, also by appointment.Email, call or just come by otherwise.
Eligibility: Numerical methods for PDEs or Intro to Computational Finance.
Textbook: None
Course Content:This course will concentrate on the approximation of the Black-Scholes equation and variants by finite difference methods. The planned outline, subject to change, is:
I. PDE Models in Computational finance
a. Introduction
b. The Black-Scholes Model
c. Beyond Black-Scholes
i. Jump Diffusion
ii. Stochastic Volatility
II. Finite Difference Approximations
a. Basic Finite Differences: European Options
b. FDM’s beyond the Black-Scholes Framework
c. Pricing American Options
d. Multidimensional problems
i. Multiasset
ii. Stochastic volatility
III. Other types of Approximations
a. Finite Element
b. Spectral Element
Attendance: I strongly advise you to attend class regularly. A student absent from class bears the full responsibility for all subject matter and procedural information discussed in class.
Grading: There will be periodic, graded homework projects, which will form the basis for the final grade. You may be called on to present results to the class during the course of the semester. There will be no exams or quizzes. Both analytical and computational problems may be assigned. The format for computer homework can be found in the section How to Write Up Computer Problem Homework.
ALL SYLLABI ARE REQUIRED TO INCLUDE THE FOLLOWING STATEMENTS:
University Attendance Policy:
Excused absences include documented illness, deaths in the family and other documented crises, call to active military duty or jury duty, religious holy days, and official University activities. These absences will be accommodated in a way that does not arbitrarily penalize students who have a valid excuse. Consideration will also be given to students whose dependent children experience serious illness.
Academic Honor Policy:
The Florida State University Academic Honor Policy outlines the University’s expectations for the integrity of students’ academic work, the procedures for resolving alleged violations of those expectations, and the rights and responsibilities of students and faculty members throughout the process. Students are responsible for reading the Academic Honor Policy and for living up to their pledge to “. . . be honest and truthful and . . . [to] strive for personal and institutional integrity at Florida State University.” (Florida State University Academic Honor Policy, found at http://fda.fsu.edu/Academics/Academic-Honor-Policy.)
Americans With Disabilities Act:
Students with disabilities needing academic accommodation should:
(1) register with and provide documentation to the Student Disability Resource Center; and
(2) bring a letter to the instructor indicating the need for accommodation and what type. This should be done during the first week of class.
This syllabus and other class materials are available in alternative format upon request.
For more information about services available to FSU students with disabilities, contact the:
Student Disability Resource Center
874 Traditions Way
108 Student Services Building
Florida State University
Tallahassee, FL 32306-4167
(850) 644-9566 (voice)
(850) 644-8504 (TDD)
sdrc@admin.fsu.edu
http://www.disabilitycenter.fsu.edu/
RECOMMENDED LANGUAGE FOR SYLLABI:
Free Tutoring from FSU
On-campus tutoring and writing assistance is available for many courses at Florida State University. For more information, visit the Academic Center for Excellence (ACE) Tutoring Services’ comprehensive list of on-campus tutoring options - see http://ace.fsu.edu/tutoring or contact tutor@fsu.edu. High-quality tutoring is available by appointment and on a walk-in basis. These services are offered by tutors trained to encourage the highest level of individual academic success while upholding personal academic integrity.
Syllabus Change Policy
"Except for changes that substantially affect implementation of the evaluation (grading) statement, this syllabus is a guide for the course and is subject to change with advance notice.”