CSE Seminar: Numerical Methods for Computational Finance - Winter 11

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Term
Winter 11
Lecturer
Stefanie Schraufstetter, Alexander Heinecke
Time and Place
block seminar, schedule see below
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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Topics

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

Deadlines

  • paper deadline (90% draft!!): Nov 25th
  • paper deadline (final version): Dec 14th

Seminar Schedule

  • 1st session (Dec 1st, 16:15-18:15)
    • stochastic basics & random numbers (Michael)
    • random numbers generating on GPUs (Weiwei)
  • 2nd session (Dec 5th, 12:00-14:00)
    • binomial and trinomial trees (Zhongwen)
  • 3rd session (Dec 6th, 16:00-18:00 )
    • Monte-Carlo method (Tijana)
    • least square Monte-Carlo method (Tan)
  • 4th session (Dec 9th, 15:00-17:30)
    • Black-Scholes equation (deduction) (Chiara)
    • discretization with sparse grids (Sam)
    • closing

All sessions will take place in out seminar room 02.07.023.

Attendance is mantadory!


Material

  • slides of the preliminary meeting with seminar topics
  • 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.)
  • slides of the kickoff meeting


Literature


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 (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.

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