Workgroup Financial Mathematics
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Content

Intensive course on Financial simulation

Lecturer: Dr. Bahar Akhtari


Schedule and Venue

 

Lectures
Dr. Bahar Akhtari

Dates and Times:

30.9.19 -11.10.19

9 -12 Uhr

First lecture:

Mon 30th September

30.9 - 04.10

Room B101

 

07.10 - 11.10

Room B 121

 

Final Written Exam TBD

Course Description

The course provides an overview of implementation methods which are
commonly used in Financial Engineering.  In particular, the following topics will be treated and implemented in Matlab:

  • Implementation of the binomial method
  • Generation of multivariate Normal distribution
  • Review of inverse transform and acceptance/rejection method
  • Solving PDEs in option pricing
  • Variance reduction techniques: control variates, antithetic variates
  • Time allowing: pricing of Asian options in continuous time, solving stochastic differential equations.

Registration

Please register for the lecture via mail to akhtari@math.lmu.de

References

  • Monte Carlo Methods in Financial Engineering, Paul Glasserman, Springer-Verlag New York, 2004.
  • Numerical Solutions of Stochastic Differential Equations, Peter E. Kloeden and Eckhard Platen, Springer-Verlag Berlin Heidelberg, 1992.

For who is this course?

Target Participants: Students of the Master in Mathematics or in Financial and Insurance Mathematics.

Pre-requisites: Students are supposed to be familiar with stochastic calculus and pricing theory. A good knowledge of Matlab is also required.

Applicable credits: 3 ECTS. Students may apply the credits from this course to the Master in Financial and Insurance Mathematics (WP20, WP22, WP23) and to the Master in Mathematics (WP44.3, WP45.2 or WP45.3).


Exercises

There will be some theoretical exercise sheets as well as some programming exercises, to be solved and run in Matlab. The solution of the exercises is part of the exam.


Exam

To be decided