Module Handbook

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Module MAT-61-14-M-7

Computational Finance (M, 4.5 LP)

Module Identification

Module Number Module Name CP (Effort)
MAT-61-14-M-7 Computational Finance 4.5 CP (135 h)

Basedata

CP, Effort 4.5 CP = 135 h
Position of the semester 1 Sem. irreg.
Level [7] Master (Advanced)
Language [EN] English
Module Manager
Lecturers
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
Livecycle-State [NORM] Active

Courses

Type/SWS Course Number Title Choice in
Module-Part
Presence-Time /
Self-Study
SL SL is
required for exa.
PL CP Sem.
2V MAT-61-14-K-7
Computational Finance
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.


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.

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.

Literature

  • 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.

Modules:

Requirements for attendance (formal)

None

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
Module-Pool Name
[MAT-61-MPOOL-7] Specialisation Financial Mathematics (M.Sc.)
[MAT-AM-MPOOL-7] Applied Mathematics (Advanced Modules M.Sc.)