CSE Seminar: Numerical Methods for Computational Finance - Summer 13

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

• 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.