Computer-aided (financial) mathematics
|Course ID:||1000-1S08MPK||Erasmus code / ISCED:||11.924 / (0619) Information and Communication Technologies (ICTs), not elsewhere classified|
|Course title:||Computer-aided (financial) mathematics||Name in Polish:||Matematyka (finansowa) przy komputerze|
|Department:||Faculty of Mathematics, Informatics, and Mechanics|
Seminars for Mathematics
|ECTS credit allocation (and other scores):||
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The seminar will consist of two fairly independent parts, one of them (led by G. Filipuk) will be devoted to general mathematics, the other (by A. Kozłowski) to financial mathematics. The seminar will begin with a 2-week intensive general introduction to doing mathematics with computer algebra systems and, in particular, the most widely used one, Mathematica.
After the initial period the groups will separate, although for some time will work on similar subjects.
The seminar will consist of three parts. The first one, given by Galina Filipuk, will be held from the beginning of October until mid January, and will be devoted to a general study of computer algebra and in particular Mathematica as a tool for doing mathematics. Thus it will involve both the study of the Mathematica programming language, particularly the use of functional and pattern-based programming (which is unlike that in most familiar procedural languages such as Java or C), as well as various mathematical examples in which computers cna be used effectively. Particular attention will be paid to mathematical and programming techniques
which will be useful in the second part of the course devoted to financial mathematics. However, the first part of the seminar will be largely independent of the second and, in particular, will not require any knowledge of finance. The second part of the seminar, which will be held during the period mid January - beginning of April and given by Andrzej Kozłowski, will concentrate on applying Mathematica to modeling financial derivatives. Finally, the third and last part of the course, roughly from the eginning of April till the end of the Summer term, will be conducted over the Internet and consist mainly of the students solving assigned homework problems based on the second part. More details can be found at http://www.mimuw.edu.pl/~akoz/Finance/index.html.
For all parts: demonstrations and documentation at www.wolfram.com Any introductory book to Mathematica For the financial part: William Shaw, Modelling Financial Derivatives with Mathematica (1999 Cambridge University Press ) More will be specified at the seminar.
Copyright by University of Warsaw.