Department of Mathematics

Computational Methods for Quantitative Finance: PDE Methods

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Lecturer Dr. Andrea Barth
Lecture Wed. 13-15 HG F 3
Fri. 13-14 HG F 5
Coordinator Robbin Tops, Vladimir Kazeev
Exercises Fri. 14-15 HG F 5

Exam date:
to be announced later...

Question Time : Wed. 12-13 in HG G 53.2

Grading Policy:

There will be homework assignments. A passing grade (Testat) will require at least 70% of the tasks solved correctly.
To get the ECTS credit points, all students (except PhD students) must participate in the end-of-semester exam and must pass it. Participation in the exam will require the Testat.

Solved exercises can be turned in during the exercise class or into the box
located at the entry to room HG G53.

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')



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© 2016 Mathematics Department | Imprint | Disclaimer | 24 January 2014