Computational Finance

Inverted Classroom Course (MSc, 6 ECTS); face-to-face meetings (approximately) every second week

• First videos will be available in ILIAS at the beginning of February
• Recap, Questions and Exercise Class: Friday, 9:00 -- 11:30, D 007; dates: 23.02, 08.03, 22.03, 12.04, 19.04, 03.05, 17.05
• Admission to exam: 50 % of homework assignments; 6 sheets, two 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 relevant numerical methods of this field.

Topics

1. Session 1: PDEs and Feynman-Kac Formula
2. Session 2,3: PDE Methods (finite differences)
3. Session 4,5,6: Monte Carlo Methods (variance reduction, quasi MC, Multilevel MC)
4. Session 7: Dynamic Programming and American Options