Numerical Finance

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

News

  • Exam details have been updated.

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

  • 31.07.2018
  • 1.08.2018
  • 8.10.2018

The oral exams will take place in the morning (8-12). After you pass the exercises (register for and pass the "Vorleistung"), you have to register for the exam and make an appointment for the oral exam with Petra Hildebrand.

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.

We estimate the total number of exercise points by the end of this semester will be around 376 (i.e., around 188 to pass).

 

No.           Sheet        Due

0.Warmup-

1.

Sheet1

23.04.18

2.

Sheet230.04.18
3.

Sheet3

Sobol Numbers

7.05.18
4.

Sheet4

Material

14.05.18
5.

Sheet5

Data

28.05.18
6.Sheet64.06.18
7.Sheet711.06.18
8.

Sheet8

Material

18.06.18

Literature

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:

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. The exam form is oral. You need an individual appointment for the exam (see details in "Exam Dates").