CSE Seminar: Computational Finance - Winter 10

Term

Winter 10

Lecturer

Stefanie Schraufstetter, Janos Benk

Time and Place

block seminar, schedule t.b.a.

Audience

Computational Science and Engineering (3rd semester), Modul 2183

Tutorials

-

Exam

-

Semesterwochenstunden / ECTS Credits

2 SWS (2S) / 4 Credits

TUMonline

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Deadlines

• deadline for first meeting with advisor: Monday, Nov 15th, 2010
• deadline for paper: Wednesday, Dec 1st, 2010
• deadline for review: Wednesday, Dec 15th, 2010
• deadline for final paper: Thursday, Jan 6th 2011

Seminar Schedule

• Jan 13th (Thursday), 16:15-18:00, room 02.07.023, 2 talks: Mihaela, David
• Jan 14th (Friday), 13:00-16:00, room 01.06.011, 3 talks: Denis, Tihomir, Ferit
• Jan 21st (Friday), 13:00-16:00, room 01.06.011, 3 talks: Donglin, Robert, Johannes

Attendance is mantadory!

Material

• slides of the preliminary meeting with seminar topics
• slides of the kickoff meeting
• sample for a review (tex source)

Literature

• Peter Forsyth: An Introduction to Computational Finance Without Agonizing Pain
• Seydel, Rüdiger: Tools for Computational Finance (several exemplars available at TUM library)
• Steven Shreve: Stochastic Calculus and Finance
• Hull: Options, Futures and Other Derivatives (you will get copies)
• Lamberton: Introduction to stochastic calculus applied to finance (available at library)

Seminar Outline

Each student will give one presentation (30 minutes) in the seminar plus 10 minutes of "activation". In addition to her or his talk, each student will have to prepare a short paper (8-10 pages), which will be reviewed by two other seminar participants. The paper and the two reviews will, in addition to the talk, be considered to determine the final grade. For more details, please have a look to the slides of the kickoff meeting.