Computational Finance




Post exam review is 20.07.2016 from 10-11 in HeHo 18 Room 2.27



Antonia Mayerhofer



MSc Finance, MSc Mathematics/WiMa: Elective Course in Financial Mathematics

2+2 lecture + exercise, 6 credit points

Time and venue:

Wednesday, 10-12 HeHo 18, Room 120 (Lecture)

Wednesday, 18:00-19:30 HeHo 18, E44 (Exercise Class)

In the exercise class:

- you work on the current exercise sheet

- bring the solutions of the week before: they will be checked (do NOT send e-mails!)

- sign the attendance list (no attendance - no "points" for the exam)


Final exam:

18.07.2016 at 10 am in H11. Closed exam.

Duration 75 minutes (10:00-11:15). A non-programmable calculator is allowed.

You are allowed to take the exam if 50% of the exercise sheets (starting at the 2nd) are completly and correctly solved.

Exercise Sheets:

Sheet 1

Sheet 2

Sheet 3 Hints

 Sheet 6 Hints

Sheet 8: Codefileadmin/website_uni_ulm/mawi.inst.050/Courses/Sommer16/ComputationalFinance/Ex09.pdf

Sheet 9

Sheet 10

Sheet 11


This course covers standard numerical methods for the application in finance:

  • Numerical simulation of stochastic processes,
  • Generation of random numbers,
  • Monte Carlo methods,
  • Binomial model, finite element and finite difference methods



  • P. Glassermann, Monte Carlo Methods in Financial Engineering, Springer 2003
  • M. Günther, A. Jüngel, Finanzderivate mit Matlab, Vieweg 2003
  • N. Hilber, O. Reichmann, C. Schwab, C. Winter, Computational Methods for Quantitative Finance, Springer 2013
  • P.E. Kloeden, E. Platen, Numerical Solution of Stochastic Differential Equations, Springer 1999
  • R. Seydel, Tools for Computational Finance, Springer 2006