Computational Finance
Andreas Neuenkirch
Lecture with exercise class (MSc, 6 ECTS)
- Lectures: Friday,10:15 – 11:45, C 013 Hörsaal (A 5, 6 Bauteil C); first lecture 13.2.26
- Exercises: Friday,12:00 – 13:30, C 013 Hörsaal (A 5, 6 Bauteil C); exercise classes on 20.2.26, 6.3.26, 20.3.26, 17.4.26, 8.5.26, 22.5.26
- Note: In week one, there will be no exercise but two lectures. In week two, there will be no lecture and the exercise will start at 10:15 instead of 12:00.
- Admission to exam: 50 % of homework assignments; 6 sheets, four homework assignments on each sheet; assignments will be theoretical or practical (programming); can be handed in in pairs
- Oral examinations; dates: tba
This course requires in particular knowledge of Mathematical Finance and provides an introduction into numerical methods for pricing of financial derivatives. The course material will be provided in ILIAS.
Topics
- PDEs and Feynman-Kac Formula
- PDE Methods (finite differences)
- Monte Carlo Methods (variance reduction, quasi MC, multilevel MC and numerical methods for stochastic differential equations)
- Dynamic Programming and American Options