The goal of this distance learning course is to approximate the solution of partial differential equations (PDEs) by the Finite Difference Method (FDM) with applications to derivative pricing in computational finance. This course is an in-depth introduction from PDE model specification through efficient and accurate finite difference schemes for a range of one-factor and two-factor option pricing problems. The focus is on understanding the financial, mathematical and numerical skills needed in order to set up the discrete system of equations that we can then implement in C++11, for example.

This course is suitable for front-office and middle-office quant developers who wish to learn the finite difference method for computational finance. The contents of the course is also relevant to other disciplines such as science and engineering.

Who should attend?

This course has been developed so that you can use the theory to solve existing problems as well as applying the knowledge to the pricing of new financial instruments. In particular, the course is for professionals with a strong mathematical background:

• Financial engineers who design new pricing models
• Analysts and quants
• Other professionals who wish to understand and apply advanced numerical methods to derivatives pricing