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Numerical methods in mathematical finance (Winter Semester 2023/24)

Lecture: Monday 9:45-11:15 20.30 SR 2.67 Begin: 23.10.2023, End: 13.2.2023
Tuesday 11:30-13:00 20.30 SR 3.68
Problem class: Wednesday 15:45-17:15 20.30 0.16

An option is a contract which gives its owner the right to buy or sell an underlying asset at a future time at a fixed price. The underlying asset is often a stock of a company, and since its value varies randomly, computing the fair price of the corresponding option is an important and interesting problem which yields a number of mathematical challenges. This lecture provides an introduction to a number of models for option pricing. The main goal, however, is the construction and analysis of numerical methods which approximate the solution of the corresponding differential equations in a stable, accurate and efficient way.

A course description with more information can be downloaded here.

Prerequisites: Participants have to be familiar with probability theory (cf. lecture ``Wahrscheinlichkeitstheorie''), the Ito integral, the Ito formula, stochastic differential equations, and with programming in MATLAB or PYTHON. Students who do not know the Ito integral and the Ito formula yet can use these lecture notes to learn the basics before the semester starts.

All other teaching material will be provided via the ILIAS page of the lecture.