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:

Master Wirtschaftsmathematik/Mathematik:

  • Finanzmathematik
  • Numerik

Master of Finance:

  • 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

    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

    Contact

    Contact

    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:

    Master Wirtschaftsmathematik/Mathematik:

    • Finanzmathematik
    • Numerik

    Master of Finance:

    • 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

      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