3236 L 371 Computational Finance
The course is taught jointly by:
The lectures take place on:
- Monday 12:00–14:00 @ MA 751
- Friday 10:00–12:00 @ MA 848
Exam Dates
- Mon 29.07.2013: Doodle link
- Dates for October will be announced in mid-September
Course description and outline: PDF
Lecture notes: PDF
(written by
Christian Bayer)
Slides of the introductory lecture: PDF
Programming exercises
- Exercise 1: PDF
[Submission deadline: 16 May 2013]
- Exercise 2: PDF
[Submission deadline: 28 June 2013]
Online Heston calculator: INRIA (select "equity_stochastic_volatility" and then "Heston1dim")
- Exercise 3: PDF
[Submission deadline: 19 July 2013]
Code
- 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
- Strong Euler scheme, Black–Scholes model:
code,
run
- Weak Euler scheme, Black–Scholes model, call option:
code,
run
- Euler scheme, counterexample:
code,
run
- Fourier method, Black–Scholes model, call option:
code,
run
Literature
Mathematical Finance
Computational Finance
Lévy processes
Affine processes
Interesting readings