Department of Mathematics

Handouts, Lecture notes & Distribution of students

Please note that this page is old.
Check in the VVZ for a current information.
Group Assistant Email Students
1 Fabian Müller

Location: HG D 1.2
2 Lukas Gonon L-P
Location: HG D 3.2
3 Lukas Herrmann Q-Z
Location: HG D 5.2


Generally, a new problem sheet will be uploaded on Wednesday of week n, pre-discussed in the exercise class on Friday of that same week n, will then have to be handed in during the break between the two hours of the lecture on Wednesday of the following week n+1 and will be post-discussed in the exercise class of that week n+1.
Corrected solutions will be given back in that exercise class or in the break of the Wednesdays lecture of the following week n+2.

Problem sheets 1 and 2 are exceptions to the above scheme, see the table below and the detailed information sent out via e-mail.

Please hand in your solutions to the theoretical questions during the break between the two hours of Wednesdays lecture or scan them and submit via e-mail to the corresponding assistant before this deadline (Wednesday at 14:15).
Please submit your MATLAB codes using the submission interface.

Note that submissions can not be made via the boxes in G 53.


Series and Templates
Hand in until
Problem Sheet 1

Template 1

Friday 27th of February (in the exercise class)
Solution 1
Problem Sheet 2

Template 2
Wednesday 11th of March
Solution 2
Problem Sheet 3

Templates and Files 3
Wednesday 11th of March Solution 3
Problem Sheet 4

Templates and Files 4
Wednesday, 18th of March Solution 4
Problem Sheet 5

Templates 5
Wednesday, 25th of March Solution 5
Problem Sheet 6

Templates 6
Wednesday, 1st of April (no joke) Solution 6

Solution 6 (Code)
Problem Sheet 7

Template 7
Wednesday 15th of April Solution 7
Problem Sheet 8

Template 8
Wednesday 22nd of April Solution 8
Problem Sheet 9

Template 9
Wednesday 29th of April Solution 9

Solution 9 (Code)
Problem Sheet 10

Template 10
Wednesday 6th of May Solution 10
Problem Sheet 11 Wednesday 20th of May Solution 11
Problem Sheet 12

Template 12
Wednesday 20th of May Solution 12

Lecture Slides

Lecture Material

The main reference for this lecture is the book

N. Hilber, O. Reichmann, Ch. Schwab, Ch. Winter: Computational Methods for Quantitative Finance, Springer Finance, Springer, 2013

which can be downloaded here.

The download link may not be activated when connecting from outside the ETH network. In that case make sure your VPN connection is on.

Files exam preparation sheet

The precise date, time and location of the final exam will be announced here.


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© 2016 Mathematics Department | Imprint | Disclaimer | 22 May 2015