Antonis Papapantoleon
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3236 L 371 Computational Finance
The lectures take place on- Tuesday 12:00–14:00 at MA 143
Lecture notes: PDF written by Christian Bayer (15.07.2010)
Slides of the introductory lecture: PDF
Slides of lecture 6: PDF
Code
- Scilab website
- Black–Scholes formula, call option
- Monte Carlo method, Black–Scholes model, call option
Mathematical Finance
- S. Shreve: Stochastic Calculus for Finance II. Springer, 2004
- D. Filipovic: Term-Structure Models: A Graduate Course. Springer, 2009
- P. Glasserman: Monte Carlo Methods in Financial Engineering, Springer, 2003
- P. Kloeden, E. Platen: Numerical Solution of Stochastic Differential Equations, Springer, 1992
- R. Seydel: Tools for Computational Finance, Springer, 2009
- R. Cont, P. Tankov: Financial Modelling with Jump Processes, Chapman and Hall, 2004
- A. Papapantoleon: An introduction to Lévy processes with applications in finance, Lecture notes, 2008
See also at the Vorlesungsverzeichnis for further information.