Seminar Numerical Finance - SS 2013


  • 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


Block-Seminar (in English) to be held on 23.07.2013, 8:00 - 17:00.


  • Prof. Dr. Karsten Urban
  • Dipl.-Math. oec. Sebastian Kestler

Relevant for

  • Master of Finance
  • Master / Diplom Wirtschaftsmathematik
  • Master / Diplom Mathematik


  • 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)


Master Wirtschaftsmathematik/Mathematik:

  • Finanzmathematik
  • Numerik

Master of Finance:

  • Financial Mathematics
  • Mathematics



    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