Dynamischer Default-Fachbereich geändert auf MAT

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

Basedata

SWS	2V
CP, Effort	4.5 CP = 135 h
Position of the semester	1 Sem. irreg.
Level	[7] Master (Advanced)
Language	[EN] English
Lecturers	Korn, Ralf, Prof. Dr. (PROF \| DEPT: MAT) Ritter, Klaus, Prof. Dr. (PROF \| DEPT: MAT) + further Lecturers of the department Mathematics
Area of study	[MAT-STO] Stochastics/Statistics/Financial Mathematics
Additional informations
Livecycle-State	[NORM] Active

Contents

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.

Literature

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

Materials

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.

Modules:

Requirements for attendance (formal)

None

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

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