
Lecturer 
Dr. Oleg Reichmann 
Lecture 
Wed. 1315 HG D 1.2 Fri. 1314 HG D 1.2 
Coordinator 
Robbin Tops, Nicoletta Gabrielli, Fabian Müller 
Exercises 
Fri. 1415 HG D 1.2 (AM) Fri. 1415 HG D 1.1 (NZ) 
Exam date:
May 28th, 13.0015.00
Exam location:
ETH HG E 19 and ETH HG E 27
Question Time : Wed. 1516 in HG G 53
Grading Policy:
There will be homework assignments.
To get the ECTS credit points, all students (except PhD students) must participate in the endofsemester exam and must pass it.
Solved exercises can be turned in into the box
located at the entry to room HG G53.
We strongly advise all students to complete the homework assignments, the understanding of the assignments is crucial to passing the endofsemester exam.
The main methods of option pricing for efficient numerical valuation of derivative contracts in a BlackScholes as well as in incomplete markets due to Levy processes or due to stochastic volatility models with emphasis on PDEbased methods are introduced. Further, implementation of pricing methods in MATLAB is developed.
Students of ETH can download Matlab via StudIDES for free (product name 'Matlab free')
The course will mainly be based on the following book:
There will be a link on the exercise webpage granting you access to the lecture material.
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