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Issue No.06 - November/December (2004 vol.6)
pp: 72-79
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).
INDEX TERMS
scientific computing, education
CITATION
Desmond J. Higham, "Black-Scholes for Scientific Computing Students", Computing in Science & Engineering, vol.6, no. 6, pp. 72-79, November/December 2004, doi:10.1109/MCSE.2004.62
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