105.130 AKFVM 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.

2009S, VU, 3.0h, 4.5EC

Properties

  • Semester hours: 3.0
  • Credits: 4.5
  • Type: VU Lecture and Exercise

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

Institute

Course dates

DayTimeDateLocationDescription
Mon14:15 - 15:0009.03.2009 - 29.06.2009Sem.R. DA grün 06A KAINHOFER
Tue14:45 - 16:1510.03.2009 - 23.06.2009Sem.R. DA grün 06A KAINHOFER
AKFVM Numerical Methods in Financial and Actuarial Mathematics - Single appointments
DayDateTimeLocationDescription
Mon09.03.200914:15 - 15:00Sem.R. DA grün 06A KAINHOFER
Tue10.03.200914:45 - 16:15Sem.R. DA grün 06A KAINHOFER
Mon16.03.200914:15 - 15:00Sem.R. DA grün 06A KAINHOFER
Tue17.03.200914:45 - 16:15Sem.R. DA grün 06A KAINHOFER
Mon23.03.200914:15 - 15:00Sem.R. DA grün 06A KAINHOFER
Tue24.03.200914:45 - 16:15Sem.R. DA grün 06A KAINHOFER
Mon30.03.200914:15 - 15:00Sem.R. DA grün 06A KAINHOFER
Tue31.03.200914:45 - 16:15Sem.R. DA grün 06A KAINHOFER
Mon06.04.200914:15 - 15:00Sem.R. DA grün 06A KAINHOFER
Tue07.04.200914:45 - 16:15Sem.R. DA grün 06A KAINHOFER
Mon13.04.200914:15 - 15:00Sem.R. DA grün 06A KAINHOFER
Tue14.04.200914:45 - 16:15Sem.R. DA grün 06A KAINHOFER
Mon20.04.200914:15 - 15:00Sem.R. DA grün 06A KAINHOFER
Tue21.04.200914:45 - 16:15Sem.R. DA grün 06A KAINHOFER
Mon27.04.200914:15 - 15:00Sem.R. DA grün 06A KAINHOFER
Tue28.04.200914:45 - 16:15Sem.R. DA grün 06A KAINHOFER
Mon04.05.200914:15 - 15:00Sem.R. DA grün 06A KAINHOFER
Tue05.05.200914:45 - 16:15Sem.R. DA grün 06A KAINHOFER
Mon11.05.200914:15 - 15:00Sem.R. DA grün 06A KAINHOFER
Tue12.05.200914:45 - 16:15Sem.R. DA grün 06A KAINHOFER

Examination modalities

oral exam

Course registration

Not necessary

Curricula

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

Language

German