Black-Scholes for scientific computing students

D.J. Higham

Research output: Contribution to journalArticle

2 Citations (Scopus)
15 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 languageEnglish
Pages (from-to)72-79
Number of pages7
JournalComputing in Science and Engineering
Volume6
Issue number6
DOIs
Publication statusPublished - Nov 2004

Fingerprint

Natural sciences computing
Finance
Partial differential equations
Numerical methods
Education
Students
Monte Carlo simulation

Keywords

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

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 = "11",
doi = "10.1109/MCSE.2004.62",
language = "English",
volume = "6",
pages = "72--79",
journal = "Computing in Science and Engineering",
issn = "1521-9615",
number = "6",

}

Black-Scholes for scientific computing students. / Higham, D.J.

In: Computing in Science and Engineering, Vol. 6, No. 6, 11.2004, p. 72-79.

Research output: Contribution to journalArticle

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

VL - 6

SP - 72

EP - 79

JO - Computing in Science and Engineering

JF - Computing in Science and Engineering

SN - 1521-9615

IS - 6

ER -