Workgroup Financial Mathematics
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Content

Angewandte Finanzmathematik

Prof. Dr. Ari-Pekka Perkkiö


Schedule and Venue

Lectures

Prof. Dr. Ari-Pekka Perkkiö

Wed 12.00 - 14.00

First Lecture: 26.4.2017

QuantLab (Room B 121)


Exercises

Prof. Dr. Ari-Pekka Perkkiö

Wed 14.00 - 16.00

First Exercise: 26.4.2017

QuantLab (Room B 121)

Final Exam

Thu 20.7.2017 10:00-12:00

Room B134

Retake Exam

On Request

TBA


News

  • (11.5.2017) The computer exercises from the first three exercise sessions will be checked on 31.5.2017 so that students who missed the first lectures and exercises still have few weeks to catch up.

Course Description

Introduction to the Black-Scholes market model with focus on computational aspects: Brownian motion, Ito's formula, Black-Scholes pricing formula, sensitivity analysis, Monte Carlo methods in pricing and hedging, importance sampling, the Black Scholes partial differential equation, finite difference methods.

Besides a few theoretical exercises, we have mostly computer exercises. These are encouraged to be implemented with Matlab of which no previous knowledge is required.


References

 Paul Wilmott Introduces Quantitative Finance, John Wiley & Sons, 2007.


For whom is this course?

Target Participants: Bachelor students of Business Mathematics.

Pre-requisites: Probability Theory. Finanzmathematik I. No preliminary knowledge of programming with Matlab nor of continuous time mathematical finance is required.

Applicable credits:

This course can be recognized as "Angewandte Finanzmathematik" (6 ECTS) for Bachelor students of Wirtschaftsmathematik.

 


Exercises and lectures notes

The lecture notes and exercises are uploaded here on a weekly basis.
Class files for the exercises
Exercise session 1 (26.4.2017). Section 2.2 in the lecture notes.
Exercise session 2 (10.5.2017). Section 2.4 in the lecture notes (Data).
Exercise session 3 (17.5.2017). We continue Section 2.4 in the lecture notes.
Exercise session 4 (24.5.2017). Section 2.10 in the lecture notes (Data).

Exercise session 5 (31.5.2017). Section 4.2 in the lecture notes (Data).

Exercise session 6 (14.6.2017). Section 5.3 in the lecture notes.

Exercise session 7 (21.6.2017). Theoretical exercises of Section 2.7 in the lecture notes.

Exercise session 8 (28.6.2017). Theoretical exercises of Section 4.3 in the lecture notes.

Exercise session 9 (5.7.2017). Section 6.2 in the lecture notes (template)

Exercise session 10 (12.7.2017). Section 5.7 in the lecture notes.

Exercise session 11 (14.7.2017). Section 5.8 in the lecture notes.

Exercise session 12 (19.7.2017). Presentation of the solutions of the numerical exercises.

 

 


Final Exam

The final exam is a 120 minutes written exam.

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