3236 L 371 Computational Finance

The lectures take place on Announcement: There will be no lecture the weeks 18–22 and 25–29 June 2012.

Course description and outline: PDF

Lecture notes: PDF (written by Christian Bayer)

Slides of the introductory lecture: PDF

Programming exercises
Mathematical Finance
Computational Finance
Lévy processes
Affine processes
Fourier methods for option pricing
Interesting readings See also the Vorlesungsverzeichnis for further information.