101.726 AKFVM-AKNUM 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.

2020W, VO, 3.0h, 4.5EC
TUWEL

Properties

  • Semester hours: 3.0
  • Credits: 4.5
  • Type: VO Lecture
  • Format: Distance Learning

Learning outcomes

After successful completion of the course, students are able to develop models for a financial market und for financial derivates, to calculate the value of European and some exotic options by binomial and Monte-Carlo Methods and to solve stochastic differential equations and the obstacle problem for American options.

Subject of course

Ito-formula, Black-scholes model and its extensions, binomial methods, Monte-Carlo methods, finite-difference methods, American options as free boundary problems, applications: call options on Bitcoin, Asian options, swing options in electricity markets

Teaching methods

There will be lectures and exercises. In the lecture the theory will be introduced and examples will be calculated. There will be weekly exercise-sheets  which will have to be calculated by the students during the lecture.

Mode of examination

Oral

Additional information

Starting with 1 October, 2020  videos concerning the lecture will be released in TUWEL.

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Thu10:00 - 11:0001.10.2020 https://tuwien.zoom.us/j/95575627790 (LIVE)Kick-Off Meeting

Examination modalities

oral exam

Course registration

Not necessary

Curricula

Literature

Lecture notes are available at https://www.asc.tuwien.ac.at/~juengel -> Teaching -> Lecture Notes

Previous knowledge

Analysis, ordinary differential equations, basics of probability theory. Stochastic analysis and partial differential equations are not assumed

Language

English