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
Tutors Fabian Müller, Lukas Gonon, Lukas Herrmann
Tutorials Fri. 14-15
Locations: HG D 1.2 (A-K),
D 3.2 (L-P),
D 5.2 (Q-Z)

Problem Sheets

Exam date:
May 27th, 08.00-11.00

Exam inspection:
September 22th, 12.00-13.00 CAB G52


A closed-book, computer-based exam will take place on
Wednesday 27th of May 2015 from 08:00 to 11:00 in the rooms HG E 19, HG E 26.1 and 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. Problem Sheet 1 is an exception. See the Exercise page for more details on the schedule.

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
Fabian Müller to update the configuration of the submission interface.

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.

To be admitted to the exam,
students must achieve at least 70% of the points attainable by
doing the weekly problem sheets.
Students who acquire these 70% are given a bonus of 20% on their exam result.
Students who do not achieve 70% of the points require a special permission by
the instructor to take the exam and will not be granted the 20% bonus.

Lecture Material

Slides 1

Slides 2

Slides 3

Slides 4 (starting from Fr. 13th of March)

Slides 5

Slides 6

Slides 7

Slides 8

Slides 9

Slides 10

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 | 14 September 2015