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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 2 (Summer Semester 2015)

Lecturer: Prof. Dr. Tobias Jahnke
Classes: Lecture (0159610), Problem class (0159620)
Weekly hours: 4+2


Results of the evaluation: exercise class, lecture


Im Namen der Studiendekanin Nicole Bäuerle möchte ich Sie bitten, an der Studierendenbefragung zur Studien- und Prüfungsorganisation am KIT teilzunehmen. Weitere Informationen finden Sie hier.

Lecture: Thursday 8:00-9:30 SR 3.60
Thursday 8:00-9:30 1C-03
Friday 8:00-9:30 SR 3.60
Friday 8:00-9:30 1C-03
Problem class: Monday 14:00-15:30 SR -1.031 Begin: 20.4.2015
Lecturer Prof. Dr. Tobias Jahnke
Office hours: Monday, 10 am - 12 am
Room 3.042 Kollegiengebäude Mathematik (20.30)
Email: tobias.jahnke@kit.edu
Problem classes Dipl.-Math. oec. Marcel Mikl
Office hours:
Room 3.038 Kollegiengebäude Mathematik (20.30)
Email: marcel.mikl@kit.edu

Aims and scope of the lecture

Based on the first part of this lecture given in the winter term, more models and methods for option pricing will be presented. The central theme is the construction and analysis of numerical methods which approximate the solution of the corresponding differential equations in a stable, accurate and efficient way.

The following topics will (probably) be discussed:

  • Multi-level Monte-Carlo methods
  • Historical, implied and local volatility
  • Jump-diffusion models and integro-differential equations
  • Finite element methods for the Black-Scholes equation
  • Sparse grids for basket options and other high-dimensional problems

Participants should be familiar with part 1 of the lecture. The lecture and the exercise classes will be given in English.

Exercise classes

In the exercise class, students will be asked to write Matlab programs which illustrate the theoretical results presented in the lecture. The exercises can be solved in pairs or alone, and with the assistance of the tutor. Participants are expected to be familiar with Matlab.