Module Handbook

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Course MAT-61-14-K-7

Computational Finance (2V, 4.5 LP)

Course Type

SWS Type Course Form CP (Effort) Presence-Time / Self-Study
2 V Lecture 4.5 CP 28 h 107 h
(2V) 4.5 CP 28 h 107 h


CP, Effort 4.5 CP = 135 h
Position of the semester 1 Sem. irreg.
Level [7] Master (Advanced)
Language [EN] English
+ further Lecturers of the department Mathematics
Area of study [MAT-STO] Stochastics/Statistics/Financial Mathematics
Additional informations
Livecycle-State [NORM] Active


  • Standard models: Black-Scholes, Heston and other SV models, local volatility
  • Choice of model and calibration,
  • Options evaluation: analytical formula, PDE, Monte-Carlo simulation, trees,
  • Pricing of exotic options and certificates,
  • Selected topics on Monte-Carlo simulations: generation of random variables, numerical methods for SDE, variance reduction, stochastic Taylor expansion,
  • Convergence of Stochastic processes and Donsker's Theorem.


  • R. Korn, E. Korn, G. Kroisandt: Monte Carlo Methods and Models in Finance and Insurance,
  • Ö. Ugur: An Introduction to Computational Finance.


Further literature will be announced in the lecture.

Requirements for attendance (informal)

Additionalknowledge from the module [MAT-61-11-M-7] is useful but not required.


Requirements for attendance (formal)


References to Course [MAT-61-14-K-7]

Module Name Context
[MAT-61-14-M-7] Computational Finance P: Obligatory 2V, 4.5 LP