MSc Finance: Compulsory Course. 

This course is only for Master of Finance Students.

Please register also in Hochschulportal!!!

First meeting: 19th April 2013, 12.15 He18 220

The assigment of the topics, a preliminary schedule and a short introduction to stochastic analysis will be given during the first meeting. Please, form groups of three before this meeting.

If you have any preferences concerning topics, please send it by e-mail. Please, be prepared for more than one topic. 

So far I received the following topics (numbers as listed below): 11, 10, 8, 7, 6, 5

For topics: 12, 5 there are formed preliminary groups of two members. (One more student is needed)

If we do not reach an agreement, the topics will be devided at random.

Short presentations and the first version of the paper and the program are expected in Mai/June.

20 minutes talks: Monday, June 3rd 10-12, HeHo 22 E18 and June 5th, 12-13 . The detailed schedule can be found here.

Changes in the schedule: Group 8 has the talk on Wednesday, 5.06. at 13:00. 

In the short presentation you are supposed to give a general view about the topic you are working on and the main ideas. Each group member should present a part of the presentation. A more detailed description of the topic should be made in the final presentation. 

All participants in the course are expected to be present during all talks except while attending different courses.

All corrections should be understood as suggestions for the authors of work.

Final Exam:

Each team is supposed to prepare a paper and a program and present the results during the final meeting.

Do not forget to explain which group member has done what and to add a signed declaration: " We hereby confirm that the seminar thesis is our own work and that we have used only the stated literature and other means."

The final talk should last no more than 40 minutes.

Official schedule for exams can be found here.

Content:

• Use of a financial information system to obtain prices of standard or complex financial assets;
• Pricing and hedging of standard or complex derivative instruments - application of standard or advanced techniques; 
• Advanced stochastic simulation/numerical routines.

Preliminary

list of topics:

1. Gaussian short rate models (Glasserman, Section 3.3) 
2. CIR model and extentions (Glasserman, Section 3.4)
3. HJM/Forward rate models (Glasserman, Section 3.6)
4. LIBOR models (Glasserman, Section 3.7)
5. Control varietes and application (Glasserman, Section 4.1)
6. Stratified sampling and applications (Glasserman, Section 4.3)
7. Importance sampling (Glasserman, Section 4.6)
8. American options. Random trees (Glasserman, Section 8.3)
9. American options: Free bounduary problems (Seydel, Sections 4.5-4.7)
10. Finite element methods and applications (Seydel, Section 5.3-5.5)
11. Asian options (Seydel, Section 6.3)
12. American options. Regression based methods (Glasserman, Section 8.6)

• Glassermann, P.: Monte Carlo Methods in Financial Engineering, Springer 2003

• Seydel, R.: Tools for Computational Finance, (Springer, Berlin), 4th edn., 2009

Programming   

Languages:

Introduction to R

MIT Opencourseware Online course