Lab Exercises for Computational Finance
Winter Term 2013/2014
Organiser
Prof. Dr. Matthias Ehrhardt
Dr. Jörg Kienitz (Postbank)
Dipl.-Math. 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 October 2013 - February 2014. 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 (by email:teng@math.uni-wuppertal.de)
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.
