250099 VO Financial mathematics 2 (2011W)

We are going to discuss advanced models of mathematical finance (beyond Black-Scholes) and their numerical treatment. On the modelling side, I want to cover general equity models with and without jumps including the class of affine models, and, on the other hand, interest rate models, including LIBOR market models. Regarding numerical methods, I would like to give an overview of stochastic methods for stochastic differential equations, in particular containing Monte Carlo simulation and discretization of SDEs. On the other hand, in the context of affine models we will also discuss Fourier-transform based methods.