Seminar Numerical Finance - SS 2013

News

• Date for presentations: 23.07.2013, 8:00 - 17:00.
• List of topics is now available online.
• Preliminary discussion: 29.01.2013, 13:00 in room 220 (Helmholtzstr. 18).
• Registration and/or questions: please send an email to Sebastian Kestler

General Information

Type

Block-Seminar (in English) to be held on 23.07.2013, 8:00 - 17:00.

Responsible

• Prof. Dr. Karsten Urban
• Dipl.-Math. oec. Sebastian Kestler

Relevant for

• Master of Finance
• Master / Diplom Wirtschaftsmathematik
• Master / Diplom Mathematik

Requirements:

• Good background knowledge in numerical finance and financial mathematics.

Criteria for successful conclusion:

• Independent studies of a current research topic in numerical finance.
• Written seminar work in LaTeX (15-20 pages)
• Beamer presentation (about 40 minutes including discussion)

Classification:

• Finanzmathematik
• Numerik

• Financial Mathematics
• Mathematics

Contents

List of topics

We discuss current research topic in numerical finance. In particular, the articles from the list of topic are concerned with

• FFT based and related methods,
• Monte-Carlo methods,
• Sparse grid methods,
• Reduced basis methods, and
• FE, FD and other PDE/PIDE based methods.

In this context, we also treat financial market models with jumps as well as models for electricity markets.

Material and Further Information

Access to journal articles

• Standard library search
• Advanced journal search (online access)

Basic Literature

See also the bibliography of the lecture notes.

• R. Seydel, Tools for Computational Finance, 2006
• M. Günther, A. Jüngel, Finanzderivate mit Matlab, 2003
• L.C.G. Rogers, D. Talay, Numerical Methods in Finance, 1997
• P.E. Kloeden, E. Platen, Numerical Solution of Stochastic Differential Equations, 1999
• R. Cont, P. Tankov, Financial Modelling with Jump Processes, 2004