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Numerical Finance - WS 2009/10

Numerical Finance   -  Wintersemester 2009/10



Organizer Dr. Pascal Heider, Sebastian Kestler
Type Lecture (4/2)
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
Prerequisites
  • Numerik I,II
  • Financial Mathematics I
  • Programming in C/C++
Lectures
  • Tuesday 10:00-12:00,  Heho 18 room 120
  • Wednesday 14:00-16:00,  Heho 18 room 120
  • First lecture: Tuesday, 13.10.
Exam
  • 10.02.2010, 16:00-18:00 in H13
  • Registration is obligatory until 03.02.2010! For master students via the Hochschulportal, for all others by email.
  • One sheet (DIN A4, face and back) for your own notes. Apart from that, no resources (lecture notes, exercises, books, etc.) are allowed.
  • Do not forget your student ID.
  • Only permanent ball pens are allowed.
  • Publication of the results is not possible before 17.02.2010. But you can get the inofficial result if you come in person to my office (Helmholtzstr. 22, E014). Office times: Every day from 9:00-17:00 except from 12:00-13:00.
  • You may inspect your exam on Wednesday, 17.02.2010, from 15:00 to 16:00 in Heho 18, E20.
  • Results online now, only available from the university intranet.
Exercises
  • Thursday 16:00-18:00,  Heho 18 room E60
  • First exercises: Friday, 16.10.,  Heho 18 room 120
  • Test exam (voluntary): Thursday, 17.12.,  16:00-18:00,  Heho 18 room E60
  • Important: Thursday, 21.01., the exercises take place in Heho 22 room 202
Exercise sheets Only accessible from the university intranet or via VPN
Forum Forum
Material
Literature
  • R. Seydel, Tools for Computational Finance, Springer 2009
  • 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
Further information
Dr. Pascal Heider, Helmholtzstr. 18 (room 201),
pascal.heider(at)uni-ulm.de,
Office hours: Monday, 15:00-17:00h
Sebastian Kestler, Helmholtzstr. 22 (room E014),
sebastian.kestler(at)uni-ulm.de,
Office hours: Monday, 11:30-12:30h
Sebastian Kestler, 06.10.2009