040646 VK KFK IV: Implementing Derivative Models (2008W)
Continuous assessment of course work
Labels
Registration/Deregistration
Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).
- Registration is open from Mo 01.09.2008 09:00 to Su 21.09.2008 23:59
- Registration is open from Fr 26.09.2008 09:00 to Mo 29.09.2008 23:59
- Deregistration possible until Tu 14.10.2008 23:59
Details
max. 50 participants
Language: English
Lecturers
Classes (iCal) - next class is marked with N
Wednesday
01.10.
16:00 - 19:00
EDV-Labor 6
Wednesday
08.10.
16:00 - 19:00
EDV-Labor 6
Wednesday
15.10.
16:00 - 19:00
EDV-Labor 6
Wednesday
22.10.
16:00 - 19:00
EDV-Labor 6
Wednesday
29.10.
16:00 - 19:00
EDV-Labor 6
Wednesday
05.11.
16:00 - 19:00
EDV-Labor 6
Saturday
08.11.
09:00 - 13:00
Seminarraum 1
Monday
10.11.
18:00 - 20:00
EDV-Labor 6
Wednesday
12.11.
16:00 - 19:00
EDV-Labor 6
Wednesday
12.11.
19:00 - 20:00
EDV-Labor 6
Wednesday
19.11.
16:00 - 19:00
EDV-Labor 6
Saturday
22.11.
09:00 - 13:00
EDV-Labor 6
Wednesday
26.11.
16:00 - 19:00
EDV-Labor 6
Wednesday
26.11.
19:00 - 20:00
EDV-Labor 6
Saturday
29.11.
09:00 - 13:00
EDV-Labor 6
Wednesday
03.12.
16:00 - 19:00
EDV-Labor 6
Wednesday
03.12.
19:00 - 20:00
EDV-Labor 6
Saturday
06.12.
09:00 - 13:00
EDV-Labor 6
Wednesday
10.12.
16:00 - 19:00
EDV-Labor 6
Wednesday
10.12.
19:00 - 20:00
EDV-Labor 6
Saturday
13.12.
09:00 - 13:00
EDV-Labor 6
Wednesday
17.12.
16:00 - 19:00
EDV-Labor 6
Wednesday
17.12.
19:00 - 20:00
EDV-Labor 6
Wednesday
07.01.
16:00 - 19:00
EDV-Labor 6
Wednesday
14.01.
16:00 - 19:00
EDV-Labor 6
Saturday
17.01.
09:00 - 13:00
EDV-Labor 6
Wednesday
21.01.
16:00 - 19:00
EDV-Labor 6
Wednesday
28.01.
16:00 - 19:00
EDV-Labor 6
Information
Aims, contents and method of the course
- 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
Assessment and permitted materials
Homework assignments (50 %) and final test (50 %).
Minimum requirements and assessment criteria
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).
Examination topics
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.
Reading list
* 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.
Association in the course directory
Last modified: Mo 07.09.2020 15:29