CSE Seminar: Numerical Methods for Computational Finance - Summer 13

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Term
Summer 13
Lecturer
Alexander Heinecke, Benjamin Peherstorfer
Time and Place
see TUMonline
Audience
Students from Master Computational Science and Engineering (IN2183), Informatics (IN2107), and Bachelor Informatics (IN0014)
Tutorials
-
Exam
paper + talk
Semesterwochenstunden / ECTS Credits
2 SWS (2S) / 4 Credits
TUMonline
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Dates

Preliminary Meeting: Thu. 24.1.2013, 9:30 st, 02.09.023.

1. Thu. 18.7. 13:30 - 17:30 st., 5530.EG.003 (003, IGSSE-Seminarraum/Foyer)

2. Fri. 19.7. 09:00 - 12:00 st., 01.09.014

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

Material

  • slides of the kickoff meeting
  • 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

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.