Numerical Methods in Finance at Imperial College: MATLAB as a Versatile Teaching Tool

Antoine Jacquier, Imperial College London

Imperial College’s M.Sc. in mathematics and finance prepares students for the challenges of working in finance, combining education in key mathematical techniques with practical aspects of working with industrial partners, including investment banks and hedge funds. Students learn probability, stochastic analysis, optimisation, numerical methods, and other techniques through student internships, engaging in joint research consultancy arrangements, and other forms of collaboration. In this session, Antoine talks about the role of MATLAB in the syllabus, particularly for course projects where students demonstrate their understanding of key mathematical techniques such as finite difference methods, through their application in a reasonably structured, yet not excessively complex, computational finance environment. This approach enables focus on the algorithm, but not at the expense of good programming.

Product Focus

  • MATLAB

Recorded: 19 Jun 2012