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, SE, 2.0h, 3.0EC

Properties

  • Semester hours: 2.0
  • Credits: 3.0
  • Type: SE Seminar

Aim of course

Modelling of financial derivatives, knowledge of different numeric methods, numeric simulations

Subject of course

Evaluation of options and Black-Scholes-Equation, Stochastic differential equations, Finite-difference methods for option pricing,  Monte Carlo methods, Numerical evaluation of American Finite-element methods and Adaptive refining of gratings, Sensitivities and calibration, evaluations of exotic options, volatibility models, interest derivatives, collateralized dept obligations

Additional information

Please consider the plagiarism guidelines of TU Wien when writing your seminar paper: Directive concerning the handling of plagiarism (PDF)

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Mon15:00 - 16:3023.03.2015 - 29.06.2015 Seminarraum 101C, 4th fl., green areaProf. Jüngel/Prof. Schmock
AKFVM Computational Finance - Single appointments
DayDateTimeLocationDescription
Mon23.03.201515:00 - 16:30 Seminarraum 101C, 4th fl., green areaProf. Jüngel/Prof. Schmock
Mon13.04.201515:00 - 16:30 Seminarraum 101C, 4th fl., green areaProf. Jüngel/Prof. Schmock
Mon20.04.201515:00 - 16:30 Seminarraum 101C, 4th fl., green areaProf. Jüngel/Prof. Schmock
Mon27.04.201515:00 - 16:30 Seminarraum 101C, 4th fl., green areaProf. Jüngel/Prof. Schmock
Mon04.05.201515:00 - 16:30 Seminarraum 101C, 4th fl., green areaProf. Jüngel/Prof. Schmock
Mon11.05.201515:00 - 16:30 Seminarraum 101C, 4th fl., green areaProf. Jüngel/Prof. Schmock
Mon18.05.201515:00 - 16:30 Seminarraum 101C, 4th fl., green areaProf. Jüngel/Prof. Schmock
Mon01.06.201515:00 - 16:30 Seminarraum 101C, 4th fl., green areaProf. Jüngel/Prof. Schmock
Mon08.06.201515:00 - 16:30 Seminarraum 101C, 4th fl., green areaProf. Jüngel/Prof. Schmock
Mon15.06.201515:00 - 16:30 Seminarraum 101C, 4th fl., green areaProf. Jüngel/Prof. Schmock
Mon22.06.201515:00 - 16:30 Seminarraum 101C, 4th fl., green areaProf. Jüngel/Prof. Schmock
Mon29.06.201515:00 - 16:30 Seminarraum 101C, 4th fl., green areaProf. Jüngel/Prof. Schmock

Examination modalities

Seminar paper

Course registration

Not necessary

Curricula

Literature

Y. Achdou, O. Pironneau: Partial Differential Equations for Option Pricing, Lecture Notes, 2011

M. Günther, A. Jüngel: Finanzderivate mit MATLAB, Vieweg 2010

R. Seydel: Tools for Computational Finance, Springer 2002

Previous knowledge

Partial Differential Equations, Numerics, optional: Stochastic Analysis

Language

German