- 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.
Computational Finance (M, 4.5 LP)
|Module Number||Module Name||CP (Effort)|
|MAT-61-14-M-7||Computational Finance||4.5 CP (135 h)|
|CP, Effort||4.5 CP = 135 h|
|Position of the semester||1 Sem. irreg.|
|Level|| Master (Advanced)|
Lecturers of the department Mathematics
|Area of study||[MAT-STO] Stochastics/Statistics/Financial Mathematics|
|Reference course of study||[MAT-88.B84-SG] M.Sc. Actuarial and Financial Mathematics|
|Type/SWS||Course Number||Title||Choice in |
|SL||SL is |
required for exa.
|P||28 h||107 h||-||-||PL1||4.5||irreg.|
- About [MAT-61-14-K-7]: Title: "Computational Finance"; Presence-Time: 28 h; Self-Study: 107 h
Examination achievement PL1
- Form of examination: oral examination (20-30 Min.)
- Examination Frequency: irregular (by arrangement)
- Examination number: 86158 ("Computational Finance")
Evaluation of grades
The grade of the module examination is also the module grade.
Competencies / intended learning achievements
Upon successful completion of the module, the students can numerically efficiently implement the methods for price rating of financial derivatives acquired in the introductory financial mathematics lectures using various methods. They understand the various procedures and can independently judge for further complex products which calculation and approximation methods are suitable and they can implement them numerically efficiently.
- R. Korn, E. Korn, G. Kroisandt: Monte Carlo Methods and Models in Finance and Insurance,
- Ö. Ugur: An Introduction to Computational Finance.
Requirements for attendance (informal)
Additional knowledge from the module [MAT-61-11-M-7] is useful but not required.
- [MAT-10-1-M-2] Fundamentals of Mathematics (M, 28.0 LP)
- [MAT-60-11-M-4] Probability Theory (M, 9.0 LP)
Requirements for attendance (formal)
References to Module / Module Number [MAT-61-14-M-7]
|Course of Study||Section||Choice/Obligation|
|[MAT-88.B84-SG] M.Sc. Actuarial and Financial Mathematics||Statistics and Computational Methods||[WP] Compulsory Elective|
|[MAT-61-MPOOL-7]||Specialisation Financial Mathematics (M.Sc.)|
|[MAT-AM-MPOOL-7]||Applied Mathematics (Advanced Modules M.Sc.)|