Seminar Practical Financial Engineering


  • 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.


Please contact Imma Curato via e-mail to register for this course until Monday,  April 12th 2021,  giving  yourn name, matriculation number, and attended semester . Please give also your topic preferences (see below) and the names of the students with whom you would like to form a group. You can also directly register as a "group" sending a unique email in which the information regarding each student of the group is included.

The groups are composed of 3 students.

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

List of topics

  1. Brownian Motion and Geometric Brownian Motion (Glasserman, Section 3.1-3.2)
  2. Gaussian short rate models (Glasserman, Section 3.3) 
  3. CIR model and extensions (Glasserman, Section 3.4)
  4. Processes with jumps (Glasserman, Section 3.5)
  5. HJM/Forward rate models (Glasserman, Section 3.6)
  6. LIBOR models (Glasserman, Section 3.7)
  7. Control Variates and Antithetic Variates (Glasserman, Section 4.1 -4.2)
  8. Importance Sampling (Glasserman, Section 4.6)
  9. Discretization Methods (Glasserman, Section 6.1-6.2)
  10. American options. Random trees (Glasserman, Section 8.3)
  11. American options. Stochastic mesh methods (Glasserman, Section 8.5)
  12. American options. Regression based methods (Glasserman, Section 8.6)

First talks

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

The presentation lasts 15 minutes + 5 minutes discussions

The paper should not exceed the 15 pages and has to be structured as following:

  • Introduction
  • Theory related to your topic
  • Simulation results
  • Conclusions
  • Bibliography

The programming languages allowed in the course are Matlab and R.

The first version of the paper  (in pdf format) and the programs have to be submitted via e-mail.

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.

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.

Final talks


The final talk lasts  40 minutes + 5 minutes discussions


All participants in the course are expected to be present during all talks.

The final version of the paper  (in pdf format) and the final programs have to be submitted via e-mail.


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

For stochastic calculus:

  • Øksendal, B.: Stochastic Di erential Equations. (Springer, Berlin), 5th edn., 1998
  • I. Karatzas, S. Shreve. Brownian motion and stochastic calculus, 2nd ed., Springer, 1991


Imma Curato

Merve Kutlu

Farid Mohamed

Time and Venue of the meetings

First meeting:

The assignment of the topics and a preliminary schedule will be discussed during the first meeting.

If  an agreement on the topics and the composition of the groups is not reached, the Lecturer will assign the topics and form the group randomly.
Further information is available on the moodle system.


MSc Finance: Compulsory Course. 

This course is only for Master of Finance Students.


Financial Mathematics I (necessary)

Programming Languages

Introduction to R