Antonis Papapantoleon
Menu:
3236 L 371 Computational Finance
The lectures take place on- Tuesday 12:00–14:00 at MA 143
- Wednesday 12:00–14:00 at MA 143
Course description and outline: PDF
Lecture notes: PDF (written by Christian Bayer)
Slides of the introductory lecture: PDF
Programming exercises
- Exercise 1: PDF [Submussion deadline: 25 May 2012]
- Exercise 2: PDF [Submussion deadline: 15 June 2012]
- Scilab website
- Introduction to Scilab: PDF
- Black–Scholes formula, call option
- Monte Carlo method, Black–Scholes model, call option
- Monte Carlo method, antithetic variates, Black–Scholes model, call option
- Monte Carlo method, control variates, Black–Scholes model, call option
- Correlation estimator, MC + AV, Black–Scholes model, call option
- Correlation estimator, MC + CV, Black–Scholes model, call option
- Euler scheme, Monte Carlo method, Black–Scholes model, call option
Mathematical Finance
- S. Shreve: Stochastic Calculus for Finance II. Springer, 2004.
- M. Musiela, M. Rutkowski: Martingale Methods in Financial Modelling. Springer, 2009.
- 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, TU Vienna, 2008
- D. Filipovic, E. Mayerhofer: Affine diffusion processes: theory and applications. In Advanced Financial Modelling, pp. 125–164, de Gruyter, 2009.
- E. Eberlein, K. Glau, A. Papapantoleon: Analysis of Fourier transform valuation formulas and applications. Applied Mathematical Finance 17, 211–240, 2010.
- N. Metropolis: The beginning of the Monte Carlo method. Los Alamos Science (Special Issue dedicated to Stanisław Ulam), 125–130, 1987.