Lab Exercises for Computational Finance

Summer Term 2016

Organiser

Dr. Long Teng

Type

Programming exercises -- Praktikum (2 SWS).

Credits

3 points

Target audience

Participants of the lecture Computational Finance

Contents

The lab exercises include the implementation of methods, which are introduced in the lecture Computational Finance. The methods are implemented using the software package MATLAB.

Procedure

There will be around five lab exercises in the period April - July 2015. The 3 credit points of this course are achieved if at least 50% lab exercises are implemented successfully. The exercises can be done in groups of 1-2 persons. Each group will present and explain their implementations at corresponding meetings by appointment.

We prefer that the exercises can be done with Matlab, the other programming languages are also allowed. However, one can be only supported by programming with Matlab.

Office hour

by appointment

Sheets

Literature

• R. Seydel, Tools for Computational Finance, 4th edition, Springer, 2009.
• D. Higham, An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation, Cambridge University Press, 2004.
• M. Günther and A. Jüngel, Finanzderivate mit MATLAB, Vieweg, 2003.
• B. Oksendal, Stochastic Differential Equations. An Introduction with Applications , 6th edition, Springer, 2003.
• D. Higham, An algorithmic introduction to numerical simulation of stochastic differential equations, SIAM Review, Vol. 43, No. 3, pp. 525-546.
• P. Kloeden, E. Platen, Numerical Solution of Stochastic Differential Equations, Springer, 1992.