Workgroup Financial Mathematics

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Computational Finance with Matlab

Lecturer: A. Gnoatto

Schedule and Venue

Dr. Alessandro Gnoatto
Dates and Times:
July 29th to August 2nd 2013, 9:00 to 13:00 & 14:00 to 16:00

First lecture: Thu 09.10.2014

Room B 121
Dr. Alessandro Gnoatto
Dates and Times:
July 29th to August 2nd 2013, 16:00 to 18:

First lecture: Thu 16.04.2015

Course Description

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.

    Schedule of the lecture:
  • Introduction to Matlab
  • Option pricing using binomial trees
  • The Black-Scholes model: closed form solution, Greeks,  Monte Carlo simulation, PDE methods, implied volatility via bisection and Newton-Raphson algorithms
  • Monte Carlo in a Black-Scholes setting: pricing of Asian, Look-back and Barrier options. Estimating Greeks using Monte Carlo
  • Transform methods in Finance: revisiting the Black Scholes model in a FFT framework. The Carr and Madan Formula and the Lewis approach
  • Stochastic volatility: the Heston model. Monte Carlo for stochastic volatility models – the Milstein scheme. FFT for the Heston model.


A solid knowledge of mathematical finance, measure theoretic probability and linear algebra is assumed.Students without a prior knowledge of Matlab or programming should consult the following tutorial: