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Numerical methods in mathematical finance II (Summer Semester 2013)

Current Events

Date Event
Lecture: Thursday 8:00-9:30 1C-03
Friday 11:30-13:00 1C-03
Problem class: Monday 14:00-15:30 Rechnerpool Geb. 01.93 Kronenstr. 32 Raum 101
Lecturer, Problem classes 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 Dr. Andreas Arnold
Office hours:
Room Kollegiengebäude Mathematik (20.30)
Problem classes Dr. Michael Kreim
Office hours:
Room Kollegiengebäude Mathematik (20.30)
Email: kreim@kit.edu
Problem classes Dr. Tudor Udrescu
Office hours:
Room Kollegiengebäude Mathematik (20.30)
Email: tudor.udrescu@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 and implicit volatility
  • Asian options
  • Jump-diffusion models and integro-diferential 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.

The exercise class starts on the 22nd of April, 2013.