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Research Group 3: Scientific Computing

Kollegiengebäude Mathematik (20.30)
Room 3.039

Zimmer 3.039
Englerstr. 2
Kollegiengebäude Mathematik (20.30)
76131 Karlsruhe

Karlsruher Institut für Technologie (KIT)
Fakultät für Mathematik
Institut für Angewandte und Numerische Mathematik
Arbeitsgruppe 3: Wissenschaftliches Rechnen
Englerstr. 2
Kollegiengebäude Mathematik (20.30)
D-76131 Karlsruhe

Office hours:
Mon-Thu 9-12 Uhr

Tel.: +49 721 608 42062

Fax.: +49 721 608 43197

Numerical methods in mathematical finance (Winter Semester 2018/19)

Lecturer: Prof. Dr. Tobias Jahnke
Classes: Lecture (0107800), Problem class (0107900)
Weekly hours: 4+2

Lecture: Tuesday 8:00-9:30 SR 3.069 Begin: 16.10.2018, End: 8.2.2018
Friday 8:00-9:30 SR 3.069
Problem class: Monday 15:45-17:15 SR 3.069 Begin: 22.10.2018, End: 4.2.2018
Lecturer Prof. Dr. Tobias Jahnke
Office hours: Monday, 10 am - 11 am
Room 3.042 Kollegiengebäude Mathematik (20.30)
Email: tobias.jahnke@kit.edu
Problem classes MSc Benny Stein
Office hours: Monday, 10-12 a.m. (lecture period) and by appointment
Room 3.045 Kollegiengebäude Mathematik (20.30)
Email: benny.stein@kit.edu

Aims and scope of this lecture

Click here for a short description of the lecture, references and other informations.


The next possibility to take the exam is 10 September 2019. If you want to take the exam, please inform me via e-mail (tobias.jahnke@kit.edu) before 20 August 2019 such that I can reserve a time slot for you. If I do not get any answer by that date, I will presume that you do not want to take the exam.
In the same e-mail you can also inform me if you have special restrictions concerning the time of your exam due to important reasons such as, e.g., child care or long journey to Karlsruhe. Those of you who want to take the exam should not forget to register in the CAS Campus system / Studierendenportal as usual.

In the exam questions about the lecture and the exercises will be asked.

Problem Class

In the problem class we will discuss various exercises which illustrate the contents of the lecture, included there are several programming exercises. For these programming exercises there is additional assistance in the form of tutorials (see below).

Problem sheet 1 (discussed on October 22)
Problem sheet 2 (discussed on October 29) Supplementary material for Problem sheet 2
Solution proposal for Problem 5
Problem sheet 3 (discussed on November 5)
Solution proposal for Problem 9
Problem sheet 4 (discussed on November 12)
Problem sheet 5 (discussed on November 19)
Solution proposal for Problem 14
Problem sheet 6 (discussed on November 26)
Solution proposal for Problem 15 (There was a small, but confusing mistake in the problem class.)
Problem sheet 7 (discussed on December 3)
Problem sheet 8 (discussed on December 10)
Solution proposal for Problem 21
Problem sheet 9 (discussed on December 17)
Problem sheet 10 (discussed on January 7)
Problem sheet 11 (discussed on January 14)
Problem sheet 12 (discussed on January 21)
Problem sheet 13 (discussed on February 4 & 5)

Programming tutorials

In the programming tutorials assistance to the programming exercises is given by Carsten Breunig.
The tutorials will take place in the computer pool -1.031 at the following time slots:

  • Tuesday, 15:45-17:15
  • Wednesday, 14:00-15:30
  • Thursday, 11:30-13:00

Lecture notes and slides

Click here for the final version of the lecture notes. Please contact me if you find errors or typos.

Black-Scholes formula: examples
Illustration of the binomial method
Numerical methods for power options
Improved error bound for the heat equation


Results of the evaluation: lecture, problem class