Numerical Finance - WS 2012/2013

Questions regarding the lecture or the exercise classes can be asked in our forum. We also encourage you to use this forum to discuss the treated topics (and maybe related subjects), exchange literature recommendations, etc.


  • We don't think we will need the full two hours for the exercise class on Friday, February 15th, so we will start only at 9:00 a.m. (s.t.) (in room 220).
  • We put together a list of questions for you to check if you have understood the contents of the course (see the 'Material' section below). Note: these are not exam questions!
  • Please don't forget to register for the Leistungsnachweis (and the oral exam) in the Hochschulportal.
  • Announcement: We will use the last exercise class (Friday, February 15th) for a recapitulation of the topics we've covered this semester. Is there anything you'd like to have discussed in detail? Any specific questions? Please let us know (preferably per email) before Monday, February 11th.
  • Seminar "Numerical Finance" in the summer term 2013 (Announcement). Further information can also be found here.
  • The dates for oral exams are available (see exam section below).
  • Latest update of the lecture notes: November 23th.
  • Please register in the SLC system for the exercises. The same account gives access to the computers in the IAI pools (e.g. He18 E44), so if you have one, you most likely have the other as well. Please check both before the first exercise class.

General Information


Lecture with exercise classes (4/2), both will be held in English.


  • Prof. Dr. Karsten Urban
  • Dipl.-Math. oec. Andreas Rupp
  • Dipl.-Math. oec. Kristina Steih

Relevant for

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


  • Oral exam
  • required: active participation in programming exercises (Leistungsnachweis)


Master Wirtschaftsmathe/Mathematik:

  • Finanzmathematik
  • Numerik

Master of Finance:

  • Financial Mathematics
  • Mathematics



    • 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++/Matlab) of the numerical approaches.


    • Tuesday, 12:00 - 14:00, He 18, room 220
    • Wednesday, 10:00 - 12:00, He 18, room 220

    Lectures will start on Tuesday, October 16th.

    The access to the lecture notes is restricted to the university subnet.

    Exercise Classes

    • Friday, 08:00 - 10:00, He 18, room 220

    Exercises will start on Friday, October 19th, with a C++ training class. We will meet in the computer pool E44, He 18 (next to the library).

    Exercises points will be managed using the SLC, so please register there for the lecture. The same account gives access to the computers in the IAI pools (e.g. He18 E44), so if you have one, you most likely have the other as well. Please check both before the first exercise class.

    Each Monday afternoon, we offer you the possibility to discuss C++-related questions in the computer pool. Please write a short email beforehand to fix the time.

    Additional material and the solutions to the programming exercises are only accessible from the university subnet.

    Sheet 0: C++ warmup  Checklist C++ knowledge

    Sheet 1

    Sheet 2

    Sheet 3

    Sheet 4

    Sheet 5

    Sheet 6

    Sheet 7 (Updated December 3rd)

    Sheet 8 (Updated December 8th)

    Sheet 9 (Updated December 17th)

    Sheet 10

    Sheet 11

    Sheet 12

    Sheet 13

    Sheet 14


    There will be oral exams at the end of the semester.

    For the admission to these exams (Leistungsnachweis), we require at least 50% of the programming exercise points.

    Possible dates for your oral exam are:

    • Wednesday, 20.02.2013
    • Friday, 22.02.2013, only in the morning
    • Wednesday, 6.03.2013
    • Wednesday, 13.03.2013
    • Tuesday, 09.04.2014

    Please arrange the date of your exam by contacting Petra Hildebrand at the secretary's office, Heho 20, Room 1.09. 


    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: