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
- {{{tumonline}}}
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.