Numerical methods in mathematical finance II (Summer Semester 2013)
- Lecturer: Prof. Dr. Tobias Jahnke
- Classes: Lecture (0159610), Problem class (0159620)
- Weekly hours: 4+2
Current Events
| Date | Event |
|---|---|
| 11.9.2013, 9:00 |
| Schedule | ||
|---|---|---|
| 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 |
| Lecturers | ||
|---|---|---|
| Lecturer, Problem classes | Prof. Dr. Tobias Jahnke | |
| Office hours: | ||
| Room 3.042 Kollegiengebäude Mathematik (20.30) | ||
| Email: tobias.jahnke@kit.edu | Problem classes | Dr. Andreas Arnold |
| Office hours: | ||
| Room Kollegiengebäude Mathematik (20.30) | ||
| Email: | 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.