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Practical lab in the summer semester 2017:

Practical Lab Numerical Simulation - Computational Finance

Under the direction of: Dr. Christian Rieger
Date: Wednesdays 14:15-15:45
First meeting: Wednesday, 19.04.2017, 14:15
Place: Room 6.020, Wegelerstr. 6
Registration: as from now by mail to
Bastian Bohn,
Jens Oettershagen

Background

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

Content

In this practical lab, we teach the mathematical and technical basics necessary for the valuation of some financial derivatives. A strong emphasis is put on algorithms and efficient implementation. Every two weeks a new practice sheet is given to the participants. Arising questions and problems will be discussed the week after. The tasks can be worked on separately or in small groups. Depending on the technical proficiency the time need is about 10 to 20 hours a week. Experience in C(++) is beneficial.

Example Code

A simple C++ code example including Makefile and Doxygen documentation can be downloaded here.