Computational Finance

Lecturer:

Antonia Mayerhofer

MSc Finance, MSc Mathematics/WiMa: Elective Course in Financial Mathematics

2+2 lecture + exercise, 6 credit points

Wednesday, 10-12 HeHo 18, Room 120 (Lecture)

Wednesday, 18:00-19:30 HeHo 18, E44 (Exercise Class)

In the exercise class:

- you work on the current exercise sheet

- bring the solutions of the week before: they will be checked (do NOT send e-mails!)

- sign the attendance list (no attendance - no "points" for the exam)

Final exam:

18.07.2016 at 10 am in H11. Closed exam.

Duration 75 minutes (10:00-11:15). A non-programmable calculator is allowed.

You are allowed to take the exam if 50% of the exercise sheets (starting at the 2nd) are completly and correctly solved.

Sheet 1

Sheet 2

Sheet 3 Hints

 Sheet 6 Hints

Sheet 8: Code/fileadmin/website_uni_ulm/mawi.inst.050/Courses/Sommer16/ComputationalFinance/Ex09.pdf

Sheet 9

Sheet 10

Sheet 11

This course covers standard numerical methods for the application in finance:

• Numerical simulation of stochastic processes,
• Generation of random numbers,
• Monte Carlo methods,
• Binomial model, finite element and finite difference methods

Literature:

• P. Glassermann, Monte Carlo Methods in Financial Engineering, Springer 2003
• M. Günther, A. Jüngel, Finanzderivate mit Matlab, Vieweg 2003
• N. Hilber, O. Reichmann, C. Schwab, C. Winter, Computational Methods for Quantitative Finance, Springer 2013
• P.E. Kloeden, E. Platen, Numerical Solution of Stochastic Differential Equations, Springer 1999
• R. Seydel, Tools for Computational Finance, Springer 2006