3236 L 371 Computational Finance
The lectures (usually) take place on:
Upcoming lectures (special arrangements):
- Tuesday 9 June, 12:00–16:00 @ MA 748 (RTG Lounge)
- Tuesday 16 June, 12:00–16:00 @ MA 748 (RTG Lounge)
- Tuesday 23 June, 12:00–14:00 @ MA 748 (RTG Lounge)
Exam Dates: Doodle calendar
Course description and outline: PDF
Lecture notes: PDF
[and an updated version
PDF]
Slides of the introductory lecture: PDF
Programming exercises
- Exercise 1: PDF
[Submission deadline: 31 May 2015]
- Exercise 2: PDF
[Submission deadline: 7 July 2015]
- Exercise 3: PDF
[Submission deadline: 31 July 2015]
- Exercise 4: PDF
[Submission deadline: 21 August 2015]
Code
Literature
Mathematical Finance
Computational Finance
Lévy processes
Affine processes
Fourier methods for option pricing
Interesting readings