Courses

MSc Finance: Compulsory Course. 

This course is only for Master of Finance Students.

Please register also in Hochschulportal!!! The registration will be possible in the second half of June.

First meeting: TUESDAY, 14th April 2015, 18:00 He 18, room 2.20.

The assignment of the topics and a preliminary schedule will be discussed during the first meeting. Please, form preliminary groups of three before this meeting.

If you have any preferences concerning topics, please send it by e-mail. Please, be prepared to suggest more than one topic. Information about the number of students interested in a particular topic will be update on the web page.

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

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

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. 

Saturday, 06.06.2015, HeHo 18, 2.20

10:15-10:40    Group 1

10:40-11:05    Group 2

11:05-11:30    Group 3

11:30-11:55    Group 4

12:00-12:30    Group 7

13:00-13:25    Group 8

13:25-13:50    Group 11

The first version of the paper should be submitted as a hard copy and additionally send the .pdf file and the first version of the program via e-mail before Friday 12.06.2015, 3pm

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 Talks:

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." Please note that the corrected version should be attached to the final version.

Final talks take place on 28.07.2015. He 18 1.20 The preliminary schedule is the following

8:00-8:45     Group 1

8:45-9:30     Group 3

9:40-10:25   Group 2

10:25-11:10 Group 4

11:15-12:00 Group 7

13:15-14:00 Group 8

14:00-14:45 Group 9

15:00-15:45 Group 11

The final talk should last no more than 40 minutes together with discussion.

The final version of the paper should be submitted as a hard copy TOGETHER WITH FIRST VERSION (i.e. all my corrections) and additionally send the .pdf file and the program via e-mail before Monday 03.08.2015, 12.00. 

If I am not in my office, please leave the paper in room 2.28 or hand in to any other member of Institute of Mathematical Finance (Rooms 1.60-1.62, 2.29, 2.30)

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

For stochastic calculus:

• Øksendal, B.: Stochastic Dierential Equations. (Springer, Berlin), 5th edn., 1998

• I. Karatzas, S. Shreve. Brownian motion and stochastic calculus, 2nd ed., Springer, 1991

Programming   

Languages:

Introduction to R

MIT Opencourseware Online course