Numerical Methods for Mathematical Finance (88-636)

This is a one-semester course for students in the financial mathematics program. Each week there will be a 3 hour lecture (Sunday 16:00-19:00, building 605, room 12) and a 1 hour problem session with teaching assistant Idan Alter (either Sunday 21:00-22:00, building 604, room 103 or Friday 10:00-11:00, building 505, room 105).

Review Class: Tuesday February 9, 18:00, Building 604, Room 101

My email: schiff "at"
My office phone: 03-531-8867.
My office hours: Tuesday 14:00-16:00. In the math and CS building, building 216, room 208.
Idan's email: alterid "at"


Exercise Sets

Every few weeks I will post an exercise set. I regard doing these exercises as the best way to learn the course material.
Each exercise will include a couple of questions for which you will need to submit solutions, and 10% of the course grade will be based on your solutions.
You must submit reasonable attempts at solutions to all the specified questions from the exercise sets to get the full 10% of the course grade.
Every student is expected to submit their own work.
The exercises will not be checked (sorry) but random checks for copying will be made, and where there is firm evidence of copying, submissions will be disqualified.
The exercises should be submitted in hard copy, Idan will give instructions.
We will try to post solutions to the exercises.

Note on Computer Programs

This course is based on Matlab. Matlab is available to students in the university computer labs (building 604, top floor), and I imagine quite a few students will also have access at work. There is a student version of Matlab for sale for about 300 sheqel at the campus bookshop (speak to Gilad there). This gives students a 4 year licence to use the software. It is not a full version, but it is possible to add on toolboxes for a very reasonable fee.

The course only uses basic commands in Matlab, so I think everything can also be done using either of the free-software Matlab clones, Octave or Scilab .

Here are instructions on a way of working with Matlab on the department's server (planet) from home.

Course Grades

10% of the course grade will be based on the exercises.
The remaining 90% will be based on two final exams.
The first exam (45% of the grade) will consist of theoretical questions and will be run as a regular university exam.
The second exam (45% of the grade) will consist of practical problems to be solved using Matlab and will be held in the university computer labs after the theoretical exam.
All students are expected to know how to access Matlab in the labs so they can take the exam.

Exams from previous years appear below. There have been changes in the course content from year to year. 5773 was the first year that (part of) the exam involved live use of Matlab

5769 Exams:

5770 Exams: 5771 Exams: 5772 Exams: 5773 Exams: This year the exam was split into 2, half a "theory" test and half a computer test 5774 Exams: 5775 Exams: 5776 Exams:

Material from class

I will post here things I used in class.

Useful links

There is an enormous amount of useful information on the internet relevant to the course and I would like to collect some links here. So, students, please send me your links! Please send me more links to put here!

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