46-903 Financial Computing III

6 units, Carnegie Mellon University

In Financial Computing III we implement in C++ the key numerical routines used in the financial industry. The topics include spline interpolation, least-square fitting, finite differences, Fast Fourier Transform, and adjoint differentiation. As usual, examples and homework exercises will be drawn from finance-related sources. Non-MSCF students may not take this course without written permission from the instructor. To be eligible, you must be a BSCF student, or a graduate student enrolled in an MSCF participating college/department (Stats & Data Science, Heinz, Tepper, Computer Science Dept.,or Math Sciences). PhD students with relevant research may be eligible with permission from the instructor.

Prerequisites: 46-901 and 46-944 and 46-902

Offered: Spring 2027, Spring 2026

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