Numerical Finance

The course "Numerical Finance" consists of two 2-hour lectures and one 2-hour exercise per week.

News

  • Exercise details have been updated! Check the sections "Exercise Sheets" and "Exam and Requirements".

Content

Topics:

  • 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.

Dates

LectureMo, 10-12HeHo 18, 220

 

Fr, 8-10HeHo 18, 120
ExerciseMo, 16-18HeHo 22, E.04

Exam Dates

tba

Exercise Sheets

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.

 

No.           Sheet        Due

0.Warmup-

1.

Sheet1

23.04.18

2.

Sheet230.04.18
3.Sheet37.05.18

Responsible

  • Lecture:
  • Prof. Dr. Karsten Urban
  • E-mail
  • Helmholtzstr. 20
  • Raum 1.12
  • 0731/50-235 35
  • Exercises:
  • M.Sc. Mazen Ali
  • E-mail
  • Helmholtzstr. 20
  • Raum 1.30
  • 0731/50-235 38

Exam and Requirements

You require 50% of the exercise points to be admitted to the exam. Exam form and dates will be announced later.