The course "Numerical Finance" consists of two 2-hour lectures and one 2-hour exercise per week.
- Time and venue for the Tuesday class have been changed! Please check homepage (and uni portal) regularly for updates!
- The new script is now available.
- The first class is scheduled to take place in the first semester week on the 15th of October, 2019.
- The first exercise sheet will be put online by Thursday, October 17th, 2019. The first exercise will take place in the second semester week on the 24th of October, 2019.
- 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.
|Lecture||Tu, 10-12||HeHo 22, E.04|
|Fr, 8-10||HeHo 18, 220|
|Exercise||Th, 16-18||HeHo 18, 220|
Exercises will take place Thursdays 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).
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:
Exam and Requirements
You require 50% of the exercise points to be admitted to the exam. The exam form will be announced during the semester.