Seminar Practical Financial Engineering and WiMa Praktikum II

• 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 Merve Kutlu and Farid Mohamed via e-mail to register for this course until Monday,  April 25th 2022,  giving  your name, matriculation number, and attended semester. Please give also your topic preferences (see below, name 3 topics: from most preferred to least preferred) 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.

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)

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.
 

 

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 Differential Equations. (Springer, Berlin), 5th edn., 1998
• I. Karatzas, S. Shreve. Brownian motion and stochastic calculus, 2nd ed., Springer, 1991