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Angewandte Finanzmathematik

Dr. Ari-Pekka Perkkiö


Schedule and Venue

Lectures

Dr. Ari-Pekka Perkkiö

Thu 10-12

First Lecture: Thu 23 April 2020

QuantLab (Room B 121)


Exercises

Dr. Ari-Pekka Perkkiö

Fri 16-18

First Exercise: Fri 24 April 2020

QuantLab (Room B 121)

Final Exam

July 27 - July 31 (see below)

 TBA

Retake Exam

TBA

TBA


Final exam

The exam will take place on July 27 - July 31. The exam consists of two parts, a programming exam (20% of the grade) and an oral exam. (80% of the grade).

  • Registration is mandatory and open until Monday July 20th 16:00. Register to the exam by sending an email from your campus account to perkkioe@math.lmu.de with subject line "Anfin2020 Exam registration".  Please indicate in your registration if you prefer not to have the oral exam online, and also at which times you are not available for the oral exam (e.g., there is a retake of FiMa I on Tuesday).
  • The programming exam, Monday July 27th, 12:00-16:00. The exam will be sent via email at 12:00. The solution has to be handed in by 16:00. It has to be sent via email from the campus account to perkkioe@math.lmu.de.
  • Oral exams are on July 28th - July 31st. The exam is 30 minutes (lecture/personal notes are allowed). The schedule of the oral exam will be sent to registered students via email on Tuesday 21st July.

News


  • The classes on Tuesdays 14-16 are rescheduled. The new time will be discussed during the first lecture.
  • Due to the current situation the course will start online. The first lecture is on Thurday 23 April 10-12. Please send an email from your campus account to the lecturer to register to the course.  The lectures and exercises are broadcasted via Zoom. The session-ID and the password will be sent via email ca. 15 minutes beforehand.
  • When sending emails, please always begin the subject with "AnFin2020".
  • In the first lecture, we will discuss the practicalities and test the technology. Please familiarize yourself with Zoom beforehand so that you can access the lecture.
  • Students interested in writing a Bachelor thesis around the topics of the course (or on any other topic), please contact also via email.

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 (8.5.2020): Exercises 2.2.1-2.2.3 in the lecture notes.
  • Exercise Session 2 (15.5.2020): Exercises 2.4.1-2.4.3 in the lecture notes (data).
  • Exercise Session 3 (22.5.2020): Exercises 2.10.1-2.10.4 in the lecture notes (data).
  • Exercise Session 4 (29.5.2020): Exercises 4.2.1-4.2.3 (4.2.3 double points).
  • Exercise Session  (5.6.2020): Demo of theoretical exercises.
  • Exercise Session (12.6.2020): A lecture.
  • Exercise Session 5 (19.6.2020): Exercises 5.3.1-5.5.3.
  • Exercise Session 6 (25.6.2020): Exercises 6.2.1-6.2.4 (data).
  • Exercise Session 7 (3.7.2020): Exercises 7.2.1-7.2.3
  • Exercise Session 8 (10.7.2020): Exercises 7.5.1-7.5.3
  • Exercise Session 9 (17.7.2020): Exercises 7.5.4 and 8.3.1 (both double points)

Final Exam

The final exam is a 120 minutes written exam.

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