|Under the direction of:||Dr. Christian Rieger|
|First meeting:||Wednesday, 19.04.2017, 14:15|
|Place:||Room 6.020, Wegelerstr. 6|
|Registration:||as from now by mail to|
The precise and efficient valuation of financial derivatives, i.e. options, is of central importance to the finance industry. For plain vanilla European options the theory of Black, Scholes und Merton allows a quick and easy valuation. However, for practically relevant, more complex options, tools from computational finance are needed.
|Simulation of an asset price||Sparse grid used for integration|