CSE Seminar: Numerical Methods for Computational Finance - Summer 12

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

• slides of the kickoff meeting
• How to prepare a talk and write a paper
• sample for a review (This year, you do not have to do reviews of talks of your colleagues. However, you can use this to give you an idea what are important items when writing a paper.)

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 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.