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101.391
AKFVM Computational Finance
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.
2015S
2009W
2009W, SE, 2.0h, 3.0EC
Properties
Semester hours: 2.0
Credits: 3.0
Type: SE Seminar
Aim of course
Modelling, evaluation and numeric solution of financial derivates
Subject of course
1. Evaluation of options and Black-Scholes-Equation (without derivation of Black-Scholes-Equation): Ugur, Chapter 2 and 4, in addition Günther/Jüngel, Chapter 2 2. Stochastic differential equations (incl. derivation of Black-Scholes equation): Ugur, Chapter 3 and Chapter 4.1, in addition Günther/Jüngel, Chapter 4 3. Finite-difference methods for option pricing: Ugur, Chapter 6, in addition Günther/Jüngel, Chapter 6.2 - 6.4 4. Monte Carlo methods: Günther/Jüngel, Chapter 5 (present Chapter 5.2 only in passing) (Presentation assigned) 5. Numerical evaluation of American options: Achdou, Chapter 7 6. Finite-element methods for option pricing: Achdou, Chapter 4 7. Adaptive refining of gratings: Achdou, Chapter 5 8. Sensitivities and calibration: Achdou, Chapter 7 - 8
Additional information
Please consider the plagiarism guidelines of TU Wien when writing your seminar paper:
Directive concerning the handling of plagiarism (PDF)
Please consider the plagiarism guidelines of TU Wien when writing your seminar paper:
Directive concerning the handling of plagiarism (PDF)
Lecturers
Jüngel, Ansgar
Schmock, Uwe
Institute
E101 Institute of Analysis and Scientific Computing
Course dates
Day
Time
Date
Location
Description
Wed
14:00 - 15:30
14.10.2009 - 17.10.2009
Sem.R. DA grün 03 C
Vorbesprechung
Wed
14:00 - 15:30
18.11.2009 - 27.01.2010
Sem.R. DA grün 03 C
Seminar
Show single appointments
AKFVM Computational Finance - Single appointments
F
P
1
N
E
Day
Date
Time
Location
Description
Wed
14.10.2009
14:00 - 15:30
Sem.R. DA grün 03 C
Vorbesprechung
Wed
18.11.2009
14:00 - 15:30
Sem.R. DA grün 03 C
Seminar
Wed
25.11.2009
14:00 - 15:30
Sem.R. DA grün 03 C
Seminar
Wed
02.12.2009
14:00 - 15:30
Sem.R. DA grün 03 C
Seminar
Wed
09.12.2009
14:00 - 15:30
Sem.R. DA grün 03 C
Seminar
Wed
16.12.2009
14:00 - 15:30
Sem.R. DA grün 03 C
Seminar
Wed
23.12.2009
14:00 - 15:30
Sem.R. DA grün 03 C
Seminar
Wed
30.12.2009
14:00 - 15:30
Sem.R. DA grün 03 C
Seminar
Wed
06.01.2010
14:00 - 15:30
Sem.R. DA grün 03 C
Seminar
Wed
13.01.2010
14:00 - 15:30
Sem.R. DA grün 03 C
Seminar
Wed
20.01.2010
14:00 - 15:30
Sem.R. DA grün 03 C
Seminar
Wed
27.01.2010
14:00 - 15:30
Sem.R. DA grün 03 C
Seminar
F
P
1
N
E
Examination modalities
Seminar paper
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
066 400 Mathematics
Not specified
066 401 Statistics
Not specified
066 402 Mathematics in Science and Technology
Not specified
066 403 Mathematics in Economics
Not specified
066 404 Mathematics in Computer Science
Not specified
066 405 Financial and Actuarial Mathematics
Not specified
860 Technical Mathematics
Not specified
864 Mathematics for Natural Sciences
Not specified
866 Economic Mathematics
Not specified
867 Statistics
Not specified
869 Mathematics in Computer Science
Not specified
873 Finance and Actuarial Mathematics
Not specified
Literature
Ömür Ugur: An Introduction to Computational Finance. Imperial College Press 2009, ISBN 979-1-84816-192-4 Yves Achdou, Olivier Pironneau: Computational Methods for Option Pricing. SIAM 2005, ISBN 0-89871-573-3 Michael Günther, Ansgar Jüngel: Finanzderivate mit MATLAB - Mathematische Modellierung und numerische Simulation. Vieweg 2003, ISBN 3-528-03204-9
Previous knowledge
Either knowledge of Stochastic Analysis and/or knowledge of Partial Differential Equations; interest in Numerics
Language
German
