Arbeitsgruppe Stochastik

Computational Finance

Lecturer

Prof. Dr. Mathias Vetter

UnivIS

Link

Content

This course is an introduction to numerical methods for problems in mathematical finance like valuation of European and American options, hedging and model calibration. The presented tools include binomal trees, Ito; calculus, integral transform approaches, Monte-Carlo methods and numerical methods for the solution of partial differential equations. All techniques will be implemented using the numerical software package Scilab. 

Time and Place

Lectures: Tue, 14:15 - 16:00, Steinitz-Hörsaal, and Thu, 8:15 - 10:00, Steinitz-Hörsaal.

First Lecture: Tue, April 9th, 2019.

Prerequisites

A solid knowledge of the principles of Mathematical Finance.

Exercise Groups

There will be three groups altogether, of which two will be for students of Quantitative Finance, while one is for students from the mathematical programs. 

Quantitative Finance: Mon, 8:15 - 10:00, LMS4 - R.526, and Mon, 10:15 - 12:00, LMS4 - R.526.

Mathematics/Financial Mathematics: Mon, 14:15 - 16:00, HRS7 - R.7.

The entire course, including the subscription to the exercise groups, will be organised via OLAT.  

Exams

We will have two written exams, one after the summer term and one prior to the start of the winter term. 

First exam: Thu, July 11th, 9:00 - 12:00, Steinitz-Hörsaal.

Second exam: Thu, October 10th, 9:00 - 12:00, Steinitz-Hörsaal.