Dr. Alessandro Gnoatto
Wed 16.00 - 18.00
Thu 12.00 - 14.00
Room B 121
|Final Written Exam||TBA|
The aim of the lecture is to connect theory and practice in Mathematical Finance. We will look at several examples/models and will produce Matlab/GNU Octave code for each topic allowing us to implement standard and advanced financial models and the associated numerical procedures.
- Matlab primer: http://www.math.toronto.edu/mpugh/primer.pdf.
- Matlab and GNU Octave are very similar, however, here you can find a list with some differences: http://en.wikibooks.org/wiki/MATLAB_Programming/Differences_between_Octave_and_MATLAB
Target Participants: Master students of Business Mathematics.
Pre-requisites: A strong command of measure-theoretic probability and stochastic calculus is assumed. It is assumed that the students attended the lecture Finanzmathematik II.
Applicable credits: Students may apply the credits from this course to Masterprüfungen Wirtschaftsmathematik (WP61).