Seminar Numerical Finance - SS 2013
Block-Seminar (in English) to be held on 23.07.2013, 8:00 - 17:00.
- Prof. Dr. Karsten Urban
- Dipl.-Math. oec. Sebastian Kestler
- 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 of Finance:
- Financial Mathematics
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.
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