Department of Mathematics

Computational Methods for Quantitative Finance: PDE Methods

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Lecturer Dr. Oleg Reichmann
Lecture Wed. 13-15 HG D 1.2
Fri. 13-14 HG D 1.2
Coordinator Robbin Tops, Nicoletta Gabrielli, Fabian Müller
Exercises Fri. 14-15 HG D 1.2 (A-M)

Fri. 14-15 HG D 1.1 (N-Z)

Exam date:
May 28th, 13.00-15.00

Exam location:
ETH HG E 19 and ETH HG E 27

Question Time : Wed. 15-16 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 end-of-semester 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 end-of-semester exam.

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:

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 | 23 May 2014