Department of Mathematics

Computational Methods for Quantitative Finance: PDE Methods

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Lecturer Prof. Dr. Christoph Schwab
Lecture Wed. 13-15 HG D 1.2
Fri. 13-14 HG D 1.2
Coordination & Tutors Lukas Herrmann, Fabian Müller, Lukas Gonon, Ryan Kurniawan
Tutorials Fri. 14-15
Locations: HG D 1.2 (A-Gr),
D 3.2 (Gs-Sc),
D 5.2 (Sd-Z)

Problem Sheets

Exam date:
June 1st, 09:00 - 11:00, must arrive before 08:40, at HG E 26.1 & HG E 26.3

Office hour:
Mon. 16-17 HG G 53.1 (please knock on the door)

Exam inspection:
beginning of the autumn semester 2016, details tba


A closed-book, computer-based exam will take place on June 1st, from 9:00 - 11:00 in the rooms HG E 26.1 & HG E 26.3.
The exam will be similar to the homework problems. MATLAB programming will be part of the examination.
Students will take the exam on ETH workstations
with preinstalled MATLAB.
[Use of own computer is not permitted].

Grading Policy:

There will be weekly homework assignments, which are due in the break between the two hours of lecture on Wednesday, i.e. at 14:15.

Solutions to the theoretical questions can be handed in in the lecture room in paper or scanned and submitted via e-mail before the deadline. Code must be handed in online using the submission interface.
Only in case the submission does not work: send your codes via E-Mail to your assistant and contact
Lukas Herrmann to update the configuration of the submission interface.

Submissions of problem sheets in a group are not allowed.

Each problem will be marked according to the following scheme:
0 - no submission
0.5 - incomplete or insufficient submission
1 - sufficient submission
1.5 - excellent submission.

Students who do not need a numerical mark
(i.e. only require a "pass" grade, which
includes most PhD students at ETH and UZH)
must achieve at least 70% of the maximal
number of points attainable by sufficient submission of the
weekly homework problem sheets, i.e. in average 0.7 points
must be achieved per problem.

Students who did not achieve the required percentage of points
in the weekly homework problem sheets can still achieve a "pass" by taking the final written exam.

Students who need a numerical mark
MUST take the written exam at the end of the semester.

Students who acquire at least 70% of the points attainable by
doing the weekly problem sheets, i.e., in average 0.7 points per exercise, are given a bonus of 20% on their exam result.

Lecture Material











Aims of the course

The main methods of option pricing for efficient numerical valuation of derivative contracts in a Black-Scholes as well as in incomplete markets due to Levy processes or due to stochastic volatility models with emphasis on PDE-based methods are introduced. Further, implementation of pricing methods in MATLAB is developed.



Matlab Links

Students of ETH can download Matlab via Stud-IDES for free (product name 'Matlab free')

Prime Literature Reference

The course will mainly be based on the following book:

The book is available in the ETH library.
There will be a link on the exercise webpage granting you access to the lecture material.

Further Literature


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© 2016 Mathematics Department | Imprint | Disclaimer | 15 June 2016