Intensive course on Financial simulation
Lecturer: Dr. Bahar Akhtari
Schedule and Venue
| Lectures Dr. Bahar Akhtari |
Dates and Times: 17.2.20 -21.2.20 9 -13 Uhr 24.2.20 - 28.2.20 9-13, 14-17 Uhr First lecture: Mon 17th February |
Room: 17.2 - 21.2 B 101
24.2 - 28.2 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
- Time allowing: pricing of Asian options in continuous time, solving stochastic differential equations.
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.