Workgroup Financial Mathematics

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Angewandte Finanzmathematik

Dr. Ari-Pekka Perkkiö

Schedule and Venue


Dr. Ari-Pekka Perkkiö

Wed 10-12

First Lecture: Wed 14 April 2021



Dr. Ari-Pekka Perkkiö

Thu 10-12

First Exercise: Thu 15 April 2021



Tue 14-16


Final Exam

Programming part: July 12th 12:00-16:00

Oral exams: July 13th - July 16th




  • Due to the current situation the course will start online. The first lecture is on Wednesday 14 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 "AnFin2021".
  • 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.


 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 via email prior the next exercise session. Theoretical exercises are to be made before the exercise session.

  • Exercise Session 1 (15.4.2021): 2.2.1-2.2.3 in the lecture notes
  • Exercise Session 2 (22.4.2021): 2.4.1-2.4.3 (data)
  • (29.4.2021): Lecture
  • Exercise Session 3 (6.5.2021): 2.10.1-2.10.4  (data)
  • Exercise Session 4 (20.5.2021): 4.2.1-4.2.3 (the last exercise with double points)
  • (27.5.2021):  Demonstration of the theoretical exercises.
  • Exercise Session 5 (10.6.2021): 5.3.1-5.3.3
  • Exercise Session 6 (17.6.2021): 6.2.1-6.2.4 (data)
  • Exercise Session 7 (24.6.2021): 7.2.1-7.2.3
  • Exercise Session 8 (1.7.2021): 7.5.1-7.5.4 and 8.3.1 (the last exercise with double points)
  • (8.7.2021): Demonstration.

Final exam

The exam consists of two parts, a programming exam (20% of the grade) and an oral exam. (80% of the grade).

The programming exam. The exam will be sent via email and the solutions have to be returned within 4 hours via email from the campus account to

Oral exam. The exam is 30 minutes (lecture/personal notes are allowed).