Department of Mathematics

Seminar über Versicherungs- und Finanzmathematik: Tools for Computational Finance

Please note that this page is old.
Check in the VVZ for a current information.
Prof. Freddy Delbaen & Dr. Marie Chazal
Place HG E1.1
Time Mondays 10:15-12:00
First meeting
Monday 07.11.2005

The seminar will be held in English.

Computational finance is an emerging discipline at the intersection of probability theory, numerical analysis and finance. We will study, implement and use methods and algorithms for the pricing of financial options. We will make the link between the pricing of options and Partial Differential Equations. Finite-difference and finite-element methods for the numerical solving of these PDEs will be explained. We will also study an algorithm due to Longstaff and Schwartz which consists in a Monte-Carlo method for the computation of American option prices, based on least squares regression.
  1. Seydel R.: Tools for Computational Finance. Springer Finance, Universitext, 2004.
  2. Longstaff F.A., Schwartz E.S.: Valuing American options by simulation: a simple least squares approach. Review of Financial Studies 14, p. 113–148, 2001.
Schedule and Contents

Wichtiger Hinweis:
Diese Website wird in älteren Versionen von Netscape ohne graphische Elemente dargestellt. Die Funktionalität der Website ist aber trotzdem gewährleistet. Wenn Sie diese Website regelmässig benutzen, empfehlen wir Ihnen, auf Ihrem Computer einen aktuellen Browser zu installieren. Weitere Informationen finden Sie auf
folgender Seite.

Important Note:
The content in this site is accessible to any browser or Internet device, however, some graphics will display correctly only in the newer versions of Netscape. To get the most out of our site we suggest you upgrade to a newer browser.
More information

© 2016 Mathematics Department | Imprint | Disclaimer | 15 November 2005