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| Veranstalter |
Prof. Dr. Karsten Urban, Kristina Steih |
| Typ |
Reading Kurs (4/2) |
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| Contents |
- Generating Random Numbers
- Monte Carlo- and quasi-Monte Carlo methods
- Numerical methods for stochastic differential equations
- Finite Difference Methods for differential equations and free boundary value problems
(European and American options)
- Finite Element Methods
- Convection-Diffusion Problems: Exotic Options
- Hyperbolic Problems
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| Schedule for lectures |
- Basis of this reading course is a script which has to be worked over by the participants and has to be presented weekly
- The number of participants is limited
- The course is especially for Erasmus students
- Registration is necessary
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| Forum |
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| Material |
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| Literature |
- R. Seydel, Tools for Computational Finance, Springer 2006
- M. Günther, A. Jüngel, Finanzderivate mit Matlab, Vieweg 2003
- L.C.G. Rogers, D. Talay, Numerical Methods in Finance, 1997
- P.E. Kloeden, E. Platen, Numerical Solution of Stochastic Differential Equations, Springer 1999
- C++ Language Tutorial
- Here is also the bibliography of the script.
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| Further information |
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| P. Hildebrand, 24.03.2009 |
deutsche Version
General Informations
.