The course "Numerical Finance" consists of two 2-hour lectures and one 2-hour exercise per week.
- Exam details have been updated.
- Generation of random numbers
- Monte-Carlo and Quasi-Monte-Carlo methods
- Numerical methods for the computation of European and American options: Binomial, Finite Difference and Finite Element methods
- Numerical methods for the simulation of stochastic processes: numerical treatment of stochastic differential equations
The course focusses both on the theoretical foundations and the practical aspects of the numerical methods. The underlying financial models will not be discussed in detail, a slight background in finance is therefore advisable. The exercises contain both theoretical work as well as the implementation (in C++) of the numerical approaches.
|Lecture||Mo, 10-12||HeHo 18, 220|
|Fr, 8-10||HeHo 18, 120|
|Exercise||Mo, 16-18||HeHo 22, E.04|
The oral exams will take place in the morning (8-12). After you pass the exercises (register for and pass the "Vorleistung"), you have to register for the exam and make an appointment for the oral exam with Petra Hildebrand.
Exercises will take place Mondays every week.
For the exercise organize yourselves into groups of 2-3 people. The theoretical part of the exercise will not be graded. The solution to the theoretical part will be presented at the beginning of the exercise.
You will be graded based on your solutions to the programming exercises. Each group will present the solution on their laptop during the exercise.
We estimate the total number of exercise points by the end of this semester will be around 376 (i.e., around 188 to pass).
No. Sheet Due
See also the bibliography of the lecture notes.
- R. Seydel, Tools for Computational Finance, Springer 2006
- M. Günther, A. Jüngel, Finanzderivate mit Matlab, Vieweg 2003
- L.C.G. Rogers, D. Talay, Numerical Methods in Finance, 1997
- P.E. Kloeden, E. Platen, Numerical Solution of Stochastic Differential Equations, Springer 1999
There is a huge amount of literature for C++ available. Good starting points are:
- C++ Language Tutorial
- C++ Online References
- stackoverflow.com (forum with usually very qualified answers).
- "Thinking in C++" by Bruce Eckel. Exhaustive and detailed free book in 2 parts, with very good explanations. Here as PDF.
Exam and Requirements
You require 50% of the exercise points to be admitted to the exam. The exam form is oral. You need an individual appointment for the exam (see details in "Exam Dates").