Workgroup Financial Mathematics
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Angewandte Finanzmathematik

Dr. Ari-Pekka Perkkiö


Schedule and Venue

Lectures

Dr. Ari-Pekka Perkkiö

Wed 10-12

First Lecture: Wed 14 April 2021

Online


Exercises

Dr. Ari-Pekka Perkkiö

Thu 10-12

First Exercise: Thu 15 April 2021

Online

Repetitorium

Tue 14-16

 Online

Final Exam

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

Oral exams: July 13th - July 16th

 

Online



News

  • 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.


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 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 perkkioe@math.lmu.de.


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

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