CSE Seminar: Numerical Methods for Computational Finance - Summer 12

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Term
Summer 12
Lecturer
Alexander Heinecke, Stefanie Schraufstetter
Time and Place
see TUMonline
Audience
Computational Science and Engineering (3rd semester), Modul 2183
Tutorials
-
Exam
paper + talk
Semesterwochenstunden / ECTS Credits
2 SWS (2S) / 4 Credits
TUMonline
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Dates

see TUMonline

News

March 15th - Dates are online
Feb 6th - Slides of kickoff meeting are online!
May 4th - changes in date
May 18th - keep the deadline for the 90% draft in mind: Jun 17th
May 18th - final paper deadline is Jul 2nd

Topics

  • Basics
    • stochastic basics & random numbers
    • options, futures, and other derivatives
  • Monte-Carlo & tree methods
    • standard MC
    • least square MC
    • binomial tree method
  • financial PDEs
    • Black-Scholes PDE
    • discretization in time and space
  • high-performance computing in finance
    • MC
    • parallelizing an PDE approach


Material

Literature


Seminar Outline

Each student will give one presentation (30 minutes) in the seminar plus 5-10 minutes of "activation". In addition to her or his talk, each student will have to prepare a short paper (approx. 8 pages). The paper as well as the talk will determine the final grade. Furthermore, you will give each other feedback to the talk by a feedback form.