040646 VK KFK IV: Implementing Derivative Models (2009W)
Prüfungsimmanente Lehrveranstaltung
Labels
An/Abmeldung
Hinweis: Ihr Anmeldezeitpunkt innerhalb der Frist hat keine Auswirkungen auf die Platzvergabe (kein "first come, first served").
- Anmeldung von Mi 09.09.2009 09:00 bis Di 22.09.2009 17:00
- Anmeldung von Mo 28.09.2009 09:00 bis Di 29.09.2009 17:00
- Abmeldung bis Mi 14.10.2009 23:59
Details
max. 50 Teilnehmer*innen
Sprache: Englisch
Lehrende
Termine (iCal) - nächster Termin ist mit N markiert
- Samstag 10.10. 09:00 - 13:00 EDV-Labor 6
- Samstag 17.10. 09:00 - 13:00 EDV-Labor 6
- Dienstag 20.10. 16:00 - 17:00 Hörsaal 8
- Samstag 24.10. 09:00 - 13:00 EDV-Labor 6
- Samstag 31.10. 09:00 - 13:00 EDV-Labor 6
- Samstag 07.11. 09:00 - 13:00 EDV-Labor 6
- Samstag 14.11. 09:00 - 13:00 EDV-Labor 6
- Samstag 21.11. 09:00 - 13:00 EDV-Labor 6
- Samstag 28.11. 09:00 - 13:00 EDV-Labor 6
- Samstag 05.12. 09:00 - 13:00 EDV-Labor 6
- Samstag 12.12. 09:00 - 13:00 EDV-Labor 6
- Samstag 19.12. 09:00 - 13:00 EDV-Labor 6
- Samstag 09.01. 09:00 - 13:00 EDV-Labor 6
- Samstag 16.01. 09:00 - 13:00 EDV-Labor 6
- Samstag 23.01. 09:00 - 13:00 EDV-Labor 6
- Samstag 30.01. 09:00 - 13:00 EDV-Labor 6
Information
Ziele, Inhalte und Methode der Lehrveranstaltung
- Monte Carlo simulation
- Variance reduction: antithetic variables, control variates, importance sampling
- Random number generation
- Lattice methods
- Binomial
- Trinomial
- Finite difference methods
- Explicit finite differences
- Implicit finite differences
- Crank-Nicolson method
- Implied trees
- Interest rate models
- Black-Derman-Toy
- Hull and White
Art der Leistungskontrolle und erlaubte Hilfsmittel
Homework assignments (50 %) and final test (50 %).
Mindestanforderungen und Beurteilungsmaßstab
This course will give an understanding of numerical methods for practically dealing with two fundamental concepts - stochastic processes and partial differential equations - for modelling derivative financial products. Numerical techniques are essential in many cases of (exotic) instruments where analytical formulas do not exist.Target group: Students of finance interested in computational aspects of derivatives pricing as well as students of computer science and business informatics interested in financial applications.
Numerical methods will be implemented in Visual Basic (participants are free to use a different programming language, such as C, Java, Fortran, Pascal).
Numerical methods will be implemented in Visual Basic (participants are free to use a different programming language, such as C, Java, Fortran, Pascal).
Prüfungsstoff
Participants will learn how to implement these methods through writing computer programs in a high level programming language (Visual Basic), and to apply them for the calculation of prices of derivative instruments.
Literatur
* S. Benninga. Financial Modeling. MIT-Press, 2008.
* L. Clewlow and C. Strickland. Implementing Derivatives Models. Wiley, 1998.
* P. Glasserman. Monte Carlo Methods in Financial Engineering. Springer, 2004.
* J.C. Hull. Options, Futures, and other Derivatives. Prentice Hall, 2008.
* P. G. Zhang. Exotic Options: A Guide to Second Generation Options (2nd Edition). World Scientific, 2006.
* L. Clewlow and C. Strickland. Implementing Derivatives Models. Wiley, 1998.
* P. Glasserman. Monte Carlo Methods in Financial Engineering. Springer, 2004.
* J.C. Hull. Options, Futures, and other Derivatives. Prentice Hall, 2008.
* P. G. Zhang. Exotic Options: A Guide to Second Generation Options (2nd Edition). World Scientific, 2006.
Zuordnung im Vorlesungsverzeichnis
Letzte Änderung: Mo 07.09.2020 15:29