FM 5091/5092 Computation, Algorithms, and Coding in Finance

NOTE | Submit all homework to fm5091.homework@gmail.com

contact information: Chris Prouty

chris.prouty@gmail.com or prouty@math.umn.edu

What's New

5/17/2009

• Class grades have been submitted and should be available within 24 hours.  The class grade distribution is illustrated here.

5/4/2009

• Final exam statistics
• Mean: 91.38%
• Median: 92%
• Mode: 89%
• High: 100%
• Low: 74%

4/28/2009

• The FM5092 final exam will be held on Monday, May 4, 2009 in Physics room 210 from 5:30pm to 8pm.

4/26/2009

• Posted review PDF with topics and comments for final exam.

4/20/2009

• Added full 5092_11 lecture to the "PowerPoint Lectures" section.
• Added 5092_12 lecture to the "PowerPoint Lectures" section.
  

4/12/2009

• Added 5092_11 lecture to the "PowerPoint Lectures" section.
  

4/6/2009

• Added full 5092_10 lecture to the "PowerPoint Lectures" section.
• For the exotics assignment, follow these guidelines: No CV, No LDS, Yes Multithreading, Yes Antithetic, No Greeks, No Standard Error
  

4/5/2009

• Added 5092_10 lecture to the "PowerPoint Lectures" section.
  

3/31/2009

• Added group option projects file for download.  Everyone's work is included in this zip file.
  

3/29/2009

• Added 5092_9 lecture to the "PowerPoint Lectures" section.
• Added full 5092_8 lecture to the "PowerPoint Lectures" section.
  

3/22/2009

• Added 5092_8 lecture to the "PowerPoint Lectures" section.
• Added full 5092_7 lecture to the "PowerPoint Lectures" section.
  

3/8/2009

• Added full 5092_6 lecture to the "PowerPoint Lectures" section.
• Added 5092_7 lecture to the "PowerPoint Lectures" section.
• Added "Coding Challenges" section.
• Removed VB2005 Code Examples.
• Removed VC++ Code Examples.
• Removed Cocoa Code Examples.
• Removed LaTeX Examples.
  
• Removed Online Lectures.
• Added "Numerical Methods in Finance and Economics: A MATLAB-Based Introduction" as recommended reading.
  

3/6/2009

• Added Matriximplementation.rar for download.  Special thanks to Xiaowu Lu for putting together everyone's projects!
  

3/1/2009

• Added 5092_6 lecture to the "PowerPoint Lectures" section.
• Added NormalDistribution.zip for download.  Thank you C# Corner!
  

2/23/2009

• Added full 5092_5 lecture to the "PowerPoint Lectures" section.
• Added matrix determinant class for download: Matrix-det.cs
• Added matrix inverse project for download: Matrix-inv.rar
• Added matrix multiply project for download: Matrix-multiply.rar
• Added matrix min/max projects for download: MinMax.rar MinMax2.rar
  

2/22/2009

• Added full 5092_4 lecture to the "PowerPoint Lectures" section.
• Added 5092_5 lecture to the "PowerPoint Lectures" section.
  

2/15/2009

• Added full 5092_3 lecture to the "PowerPoint Lectures" section.
• Added 5092_4 lecture to the "PowerPoint Lectures" section.
  

2/8/2009

• Added full 5092_2 lecture to the "PowerPoint Lectures" section.
• Added 5092_3 lecture to the "PowerPoint Lectures" section.

2/1/2009

• Added full 5092_1 lecture to the "PowerPoint Lectures" section.
• Added 5092_2 lecture to the "PowerPoint Lectures" section.

1/25/2009

• Welcome to the second semester!
• Added 5092_1 lecture to the "PowerPoint Lectures" section.
  

11/23/2008

• No new lecture this week; we will continue last week's lecture and review key points from the semester during this class.
• Please note that all the Greek values must be implemented in the trinomial tree project.
  

11/16/2008

• Added many previous lectures with challenge solutions included.
• Added 5091_12 lecture to the "PowerPoint Lectures" section.
  

11/9/2008

• Added 5091_11 lecture to the "PowerPoint Lectures" section.
  

11/2/2008

• Added 5091_10 lecture to the "PowerPoint Lectures" section.
  

10/26/2008

• Added 5091_9 lecture to the "PowerPoint Lectures" section.
  

10/19/2008

• Added 5091_8 lecture to the "PowerPoint Lectures" section.  We are skipping the 5091_7 lecture for the time being.
• Files needed: File 1 and File 2
  

10/12/2008

• Added 5091_6 lecture to the "PowerPoint Lectures" section.
  

10/5/2008

• Added 5091_5 lecture to the "PowerPoint Lectures" section.
• Updated the "Class Blog" section to reflect 9/29/2008 class.
  

9/28/2008

• Added 5091_3 full lecture with solutions to the "PowerPoint Lectures section.
• Added 5091_4 lecture to the "PowerPoint Lectures" section.
• Updated the "Class Blog" section to reflect 9/22/2008 class.
  

9/21/2008

• Changed the homework submission address.
• Added 5091_2 full lecture (with solutions to the 5 Minute Challenges) to the "PowerPoint Lectures" section.
• Added 5091_3 lecture to the "PowerPoint Lectures" section.
• Updated the "Class Blog" section to reflect 9/15/2008 class.
  

9/14/2008

• Added 5091_1 full lecture (with solutions to the 5 Minute Challenges) to the "PowerPoint Lectures" section.
• Added 5091_2 lecture to the "PowerPoint Lectures" section.
• Updated the "Class Blog" section to reflect 9/8/2008 class.
  

9/6/2008

• Added 5091_1 lecture to the "PowerPoint Lectures" section.
  

7/30/2008

• Added the Fall 2008 class syllabus to the "Syllabus" section.
• Added "Godel, Escher, Bach" to the "Textbooks and Reading Material" section.

5/21/2008

• Moved 5092 news to the "Old News" section.
• Moved 2007-2008 blog to the "Old Blog" section.
• Removed links to all 2007-2008 lecture slides.
• Updated "Textbooks and Reading Material" with textbook requirements for the 2008-2009 school year.

Old News