財務數值方法
Numerical Methods in Finance
| 節 | 週一 |
|---|---|
A 18:30–19:20 | 財務數值方法 M-b01（光復） 3 節連堂 |
B 19:30–20:20 | |
C 20:30–21:20 |
* 根據陽明交大上課時間表所列
C++ is a powerful, efficient, and widely programming language in computer science field. This course teaches students use C++ to write numerical programs to solve financial problems. The students will also learn to verify the correctness of the programs and to do good teamwork.
No
無備註
電腦教室,投影機,助教批改程式作業
作業部份: Homework +term project 考試部份: 期中考 評量部份: Homework +term project+presentation+Mid term exam
Programming language
1. Data type 2. Control structure 3. Array 4. Function
- 講授：
- 20
- 示範：
- 4
Numerical pricing methods
1. Tree 2. Combinatory 3. Monte Carlo simulation
- 講授：
- 18
- 示範：
- 3
| 週次 | 主題 |
|---|---|
| 第 1 週 | Introduction |
| 第 2 週 | Data type and expressions |
| 第 3 週 | Flow control |
| 第 4 週 | Loop |
| 第 5 週 | Array |
| 第 6 週 | Functions |
| 第 7 週 | Strings |
| 第 8 週 | File handle |
| 第 9 週 | Mid-term exam |
| 第 10 週 | Pricing with binomial tree models |
| 第 11 週 | Combinatory |
| 第 12 週 | Tree construction |
| 第 13 週 | Monte Carlo simulation |
| 第 14 週 | Variance reduction method and Quasi Monte Carlo simulation |
| 第 15 週 | High dimensional Monte Carlo simulation |
| 第 16 週 | Introduction to OOP |
| 第 17 週 | Term project presentation |
| 第 18 週 | 課後檢討(資料放在e3 讓學生自行下載學習) |
Dai, T. –S., C++ and Quantitative Finance, Taiwan: Securities and Future Institute. 2005
- 地點
- TBA
- 時間
- Wed. morning 10AM to 12AM
- 聯絡方式
- cameldai@mail.nctu.edu.tw