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.
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
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.
Downloads
- bmpath3D (226 KByte)
- bmpaths (844 KByte)
- classfiles (638 Byte)
- FDmethod (2 KByte)
- lecturenotes (414 KByte)
- stockprice (15 KByte)