Handouts, Lecture notes & Distribution of students

Homework

Generally, a new problem sheet will be uploaded on Wednesday of week n, pre-discussed in the exercise class on Friday of that same week n, will then have to be handed in during the break between the two hours of the lecture on Wednesday of the following week n+1 and will be post-discussed in the exercise class of that week n+1.
Corrected solutions will be given back in that exercise class or in the break of the Wednesdays lecture of the following week n+2.

Problem sheets 1 and 2 are exceptions to the above scheme, see the table below and the detailed information sent out via e-mail.

Please hand in your solutions to the theoretical questions during the break between the two hours of Wednesdays lecture or scan them and submit via e-mail to the corresponding assistant before this deadline (Wednesday at 14:15).
Please submit your MATLAB codes using the submission interface.

Note that submissions can not be made via the boxes in G 53.

Series

Lecture Slides

• See here.
  

Lecture Material

The main reference for this lecture is the book

N. Hilber, O. Reichmann, Ch. Schwab, Ch. Winter: Computational Methods for Quantitative Finance, Springer Finance, Springer, 2013

which can be downloaded here.


The download link may not be activated when connecting from outside the ETH network. In that case make sure your VPN connection is on.

Files exam preparation sheet

The precise date, time and location of the final exam will be announced here.