Black-Scholes for scientific computing students

D.J. Higham

doi:10.1109/MCSE.2004.62

Black-Scholes for scientific computing students

D.J. Higham

Mathematics And Statistics

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

32 Downloads (Pure)

Abstract

Mathematical finance provides a modern, attractive source of examples and case studies for scientific computing classes. In this installment of Education, I will show how educators can use the Nobel Prize-winning Black-Scholes option valuation theory to motivate exercises in Monte Carlo simulation, matrix computation, and numerical methods for partial differential equations (PDEs).

Original language	English
Pages (from-to)	72-79
Number of pages	7
Journal	Computing in Science and Engineering
Volume	6
Issue number	6
DOIs	https://doi.org/10.1109/MCSE.2004.62
Publication status	Published - Nov 2004

Keywords

numerical analysis
Monte Carlo methods
finite difference methods
partial differential equations
financial data processing
binomial distribution
educational computing

Access to Document

10.1109/MCSE.2004.62

strathprints000162Accepted author manuscript, 282 KB

Cite this

@article{9f7383c37b544aa6a0da4b38715aea7d,

title = "Black-Scholes for scientific computing students",

abstract = "Mathematical finance provides a modern, attractive source of examples and case studies for scientific computing classes. In this installment of Education, I will show how educators can use the Nobel Prize-winning Black-Scholes option valuation theory to motivate exercises in Monte Carlo simulation, matrix computation, and numerical methods for partial differential equations (PDEs).",

keywords = "numerical analysis, Monte Carlo methods, finite difference methods, partial differential equations, financial data processing, binomial distribution, educational computing",

author = "D.J. Higham",

year = "2004",

month = nov,

doi = "10.1109/MCSE.2004.62",

language = "English",

volume = "6",

pages = "72--79",

journal = "Computing in Science and Engineering",

issn = "1521-9615",

number = "6",

}

TY - JOUR

T1 - Black-Scholes for scientific computing students

AU - Higham, D.J.

PY - 2004/11

Y1 - 2004/11

N2 - Mathematical finance provides a modern, attractive source of examples and case studies for scientific computing classes. In this installment of Education, I will show how educators can use the Nobel Prize-winning Black-Scholes option valuation theory to motivate exercises in Monte Carlo simulation, matrix computation, and numerical methods for partial differential equations (PDEs).

AB - Mathematical finance provides a modern, attractive source of examples and case studies for scientific computing classes. In this installment of Education, I will show how educators can use the Nobel Prize-winning Black-Scholes option valuation theory to motivate exercises in Monte Carlo simulation, matrix computation, and numerical methods for partial differential equations (PDEs).

KW - numerical analysis

KW - Monte Carlo methods

KW - finite difference methods

KW - partial differential equations

KW - financial data processing

KW - binomial distribution

KW - educational computing

UR - http://www.maths.strath.ac.uk/~aas96106/rep01_2004.pdf

U2 - 10.1109/MCSE.2004.62

DO - 10.1109/MCSE.2004.62

M3 - Article

SN - 1521-9615

VL - 6

SP - 72

EP - 79

JO - Computing in Science and Engineering

JF - Computing in Science and Engineering

IS - 6

ER -

Black-Scholes for scientific computing students

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this