Seminar Practical Financial Engineering

Content

  • 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.

Registration

Please contact Imma Curato via e-mail to register for this course until Wednesday,  April 16th 2020,  giving  name, immatriculation number, semester and a field of study. Please give also your topic preferences (see below) 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 students of the group are included.

The groups are composed of 3 students.

Please register also in Hochschulportal!!! The registration will be possible in the second half of June.

List of topics

  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)

First talks

Talks' Schedule:
Group A 
Group B 
Group C 
Group D 

In the short presentation you are supposed to give a general view about the topic you are working on and the main ideas. 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 should be submitted as a hard copy and additionally send the .pdf file and the first version of the program via e-mail before 

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.
Each group is, then, supposed to prepare a final paper and a program to present during the final meeting.

Final talks

Talks' Schedule:
Group A
Group B 

10 minutes break

Group C 
Group D 

The final talk lasts  40 minutes + 5 minutes discussions

All participants in the course are expected to be present during all talks.

The firnal version of the paper should be submitted as a hard copy and additionally send the .pdf file and the programs via e-mail before

Literature

  • Glassermann, P.: Monte Carlo Methods in Financial Engineering, Springer 2003

For stochastic calculus:

  • Øksendal, B.: Stochastic Di erential Equations. (Springer, Berlin), 5th edn., 1998
  • I. Karatzas, S. Shreve. Brownian motion and stochastic calculus, 2nd ed., Springer, 1991

Time and Venue of the meetings

First meeting: 21st April, Room 2.22 He 22, 16:00

The assignment of the topics and a preliminary schedule will be discussed during the first meeting.

If  an agreement on the topics and the composition of the groups is not reached, the Lecturer will assign the topics and form the group randomly.
Further information is available on the moodle system.

Type

MSc Finance: Compulsory Course. 

This course is only for Master of Finance Students.

Prerequisites

Financial Mathematics I (necessary)

Programming

Introduction to R