Workgroup Financial Mathematics
print


Breadcrumb Navigation


Content

Angewandte Finanzmathematik

Prof. Dr. Ari-Pekka Perkkiö


Schedule and Venue

Lectures

Prof. Dr. Ari-Pekka Perkkiö

Tue 10-12

First Lecture: Tue 23 April 2019

QuantLab (Room B 121)


Exercises

Prof. Dr. Ari-Pekka Perkkiö

Wed 14-16

First Exercise: Wed 8 May 2019

QuantLab (Room B 121)

Final Exam

Wed 14-16 July 24 2019

 Room C 123

Retake Exam

October 2019 (TBA)

TBA


News

  • The grades of the final exam can be found in front of B 233. It is possible to review the exam at B 230  on Friday 16.8. and Friday 23.8. at 10:00-12:00.

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.

Computer exercises are to be handed in printed by the next exercise session. Theoretical exercises are to be made before the exercise session. Please be prepared to present your solutions during the class.

  • Exercise Session 1 (8.5.2019): Exercises 2.2.1-2.2.3 in the lecture notes
  • Exercise Session 2 (15.5.2019): Exercises 2.4.1-2.4.3 (data)
  • Exercise Session 3 (22.5.2019): Exercises 2.10.1-2.10.4 (data)
  • Exercise Session 4 (29.5.2019): Exercises 4.2.1-4.2.3 (the last exercise with double points)
  • Exercise Session 5 (5.6.2019): Exercises 2.7.1-2.7.5 (to be handed in before the session)
  • Exercise Session 6 (12.6.2019): Exercises 5.3.1-5.3.3
  • Exercise Session 7 (19.6.2019): Exercises 6.2.1-6.2.4 (data)
  • Exercise Session 8 (26.6.2019): Exercises 4.3.1-4.3.4 (to be handed in before the session)
  • Exercise Session 9 (3.7.2019): Exercises 7.2.1-7.2.3
  • Exercise Session 10 (10.7.2019): Exercises 7.5.1-7.5.3
  • Exercise Session 11 (17.7.2019): Exercise 8.3.1 (three points)

Final Exam

The final exam is a 120 minutes written exam.

Downloads