PROFESSORS: This course is cotaught by Professors Jelena Bradic, Michael Holst and Ruth Williams of the UCSD Mathematics Department.
TIME: M 1.30-4.30pm
PLACE: 1E107, Otterson Hall, Rady School.

This course is offered by the UCSD Rady School of Management as an elective for their Master of Finance Program. The Rady School controls enrolment/attendance for this course. If you have questions about enroling in the course, please contact

DESCRIPTION: Computational methods have become indispensible in modern finance. This course will introduce common computational methods of importance for finance and illustrate their use in solving problems. The course will begin with an introduction to optimization which will include application of quadratic programming to portfolio selection. This will be followed by an introduction to simulation methods with applications to option pricing. Fundamentals of Monte Carlo simulation and numerical solution of stochastic differential equations will be treated. The course will conclude with a discussion of finite difference and finite element methods for solving partial differential equations arising in finance. Applications to pricing of European, American and exotic options will be given using simulation and partial differential equation methods.


  • Optimization Methods in Finance, G. Cornuejols and R. Tutuncu, Cambridge Univ. Press, 2007.
  • Implementing Models in Quantitative Finance: Methods and Cases, G. Fusai and A. Roncoroni, Springer, 2008.
  • Tools for Computational Finance, Fifth Edition, R. U. Seydel, Springer, 2012.

    QUESTIONS: Please direct any questions (other than enrolment issues) to Professor Williams (williams at math dot ucsd dot edu).