105.074 AKVFM Numerical Methods in Financial and Actuarial Mathematics
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2006S, VO, 2.0h, 3.0EC

Properties

Semester hours: 2.0
Credits: 3.0
Type: VO Lecture

Aim of course

Theory and Application of the most important numerical techniques usually employed to problems in financial and actuarial mathematics

Subject of course

Simulation and generation of random variates (Monte Carlo, Quasi-Monte Carlo) Random numbers with general distributions (Transformation, Inversion, Acceptance-Rejection) Generation of sample pathes (Brownian Motion, diffusion processes, jump processes) Variance reduction Quasi-Monte Carlo and low-discrepancy sequences Copulas, Fitting of copulas to data Numerical methods for SDEs Discretization methods Applications: Option pricing (American, Asian, exotic Options) Applications: Risk Management (Risk measures, Credit Risk)

Lecturers

Kainhofer, Reinhold
Schmock, Uwe

Institute

E105 Institute of Statistics and Mathematical Methods in Economics

Course dates

Day	Time	Date	Location	Description
Mon	14:00 - 15:30	06.03.2006 - 30.06.2006	Sem.R. DA grün 06A	KAINHOFER

Show single appointments

AKVFM Numerical Methods in Financial and Actuarial Mathematics - Single appointments

Day	Date	Time	Location	Description
Mon	06.03.2006	14:00 - 15:30	Sem.R. DA grün 06A	KAINHOFER
Mon	13.03.2006	14:00 - 15:30	Sem.R. DA grün 06A	KAINHOFER
Mon	20.03.2006	14:00 - 15:30	Sem.R. DA grün 06A	KAINHOFER
Mon	27.03.2006	14:00 - 15:30	Sem.R. DA grün 06A	KAINHOFER
Mon	03.04.2006	14:00 - 15:30	Sem.R. DA grün 06A	KAINHOFER
Mon	10.04.2006	14:00 - 15:30	Sem.R. DA grün 06A	KAINHOFER
Mon	17.04.2006	14:00 - 15:30	Sem.R. DA grün 06A	KAINHOFER
Mon	24.04.2006	14:00 - 15:30	Sem.R. DA grün 06A	KAINHOFER
Mon	01.05.2006	14:00 - 15:30	Sem.R. DA grün 06A	KAINHOFER
Mon	08.05.2006	14:00 - 15:30	Sem.R. DA grün 06A	KAINHOFER
Mon	15.05.2006	14:00 - 15:30	Sem.R. DA grün 06A	KAINHOFER
Mon	22.05.2006	14:00 - 15:30	Sem.R. DA grün 06A	KAINHOFER
Mon	29.05.2006	14:00 - 15:30	Sem.R. DA grün 06A	KAINHOFER
Mon	05.06.2006	14:00 - 15:30	Sem.R. DA grün 06A	KAINHOFER
Mon	12.06.2006	14:00 - 15:30	Sem.R. DA grün 06A	KAINHOFER
Mon	19.06.2006	14:00 - 15:30	Sem.R. DA grün 06A	KAINHOFER
Mon	26.06.2006	14:00 - 15:30	Sem.R. DA grün 06A	KAINHOFER

Examination modalities

oral exam

Course registration

Not necessary

Curricula

Study Code	Obligation	Semester	Precon.	Info
066 415 Actuarial Mathematics	Not specified
740 Industrial Engineering-Management	Mandatory elective

Literature

R. Seydel: Tools for Computational Finance, Second Edition, Springer, 2004. P. Glasserman: Monte Carlo Methods in Financial Engineering, Springer, 2004 See also http://reinhold.kainhofer.com/Lehre/06S_VU_NumMeth/Inhalt.pdf

Accompanying courses

105.075 UE AKVFM Numerical Methods in Financial and Actuarial Mathematics

Language

German