Workgroup Financial Mathematics
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Content

Computational Finance

Dr. Alessandro Gnoatto


Schedule and Venue

Lectures
Dr. Alessandro Gnoatto

Wed 16.00 - 18.00

Thu 12.00 - 14.00

quantLab
Room B 121
Final Written Exam TBA

  


Course Description

  • Content:

    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.


References

Students without a prior knowledge of Matlab or programming should consult the following tutorials:
  1. Matlab primer: http://www.math.toronto.edu/mpugh/primer.pdf.
  2. 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

For whom is this course?

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).



Final Exams

To be announced.