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
- {{{tumonline}}}
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
- Peter Forsyth: An Introduction to Computational Finance Without Agonizing Pain
- Seydel, Rüdiger: Tools for Computational Finance
- Steven Shreve: Stochastic Calculus and Finance
- Hull: Options, Futures and Other Derivatives
- Lamberton: Introduction to stochastic calculus applied to finance
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.