3236 L 371 Computational Finance
The course is taught jointly by:
The lectures take place on:
- Monday 10:00–12:00 @ MA 742
- Friday 10:00–12:00 @ MA 742
Course description and outline: PDF
Lecture notes: PDF
Slides of the introductory lecture: PDF
Programming exercises
- Exercise 1: PDF
[Submission deadline: 18 May 2014]
- Exercise 2: PDF
[Submission deadline: 8 June 2014]
Online Heston calculator: INRIA (select "equity_stochastic_volatility" and then "Heston1dim")
- Exercise 3: PDF
[Submission deadline: 6 July 2014]
- Exercise 4: PDF
[Submission deadline: 27 July 2014]
Code
Literature
Mathematical Finance
Computational Finance
Lévy processes
Affine processes
Fourier methods for option pricing
Interesting readings