Angewandte Finanzmathematik

Dr. Ari-Pekka Perkkiö

Schedule and Venue

Dr. Ari-Pekka Perkkiö
Tue 10-12B121 (Quantlab)
Dr. Ari-Pekka Perkkiö
Thu 10-12B121 (Quantlab)
RepetitoriumWed 10-12B121 (Quantlab)
Retake Exam13.10. Fri 12-14B133

When sending emails, please always begin the subject with "AnFin2023"

Some information (like model solutions) will be distributed via email. Please send an email from your campus account to the lecturer to register to the mailing list.

Students interested in writing a Bachelor thesis around the topics of the course (or on any other topic), please contact via email.

Introduction to the Black-Scholes market model with focus on computational aspects: Brownian motion, Ito's formula, Black-Scholes pricing formula, sensitivity analysis, Monte Carlo methods in pricing and hedging, importance sampling, the Black Scholes partial differential equation, finite difference methods.

Besides a few theoretical exercises, we have mostly computer exercises. These are encouraged to be implemented with Matlab of which no previous knowledge is required.

Paul Wilmott Introduces Quantitative Finance, John Wiley & Sons, 2007.

Target Participants: Bachelor students of Business Mathematics.

Pre-requisites: Probability Theory. Finanzmathematik I. No preliminary knowledge of programming with Matlab nor of continuous time mathematical finance is required.

Applicable credits: This course can be recognized as "Angewandte Finanzmathematik" (6 ECTS) for Bachelor students of Wirtschaftsmathematik.

The lecture notes and exercises are uploaded here on a weekly basis.

Computer exercises are to be handed via email prior the next exercise session. Theoretical exercises are to be made before the exercise session.

  • Exercise 1 (20.4.): Exercises 2.2.1-2.2.3 in the lecture notes (template (ZIP, 9 KB))
  • Exercise 2 (27.4.): Exercises 2.4.1-2.4.3 (data (ZIP, 76 KB))
  • Exercise 3 (4.5.): Exercises 2.10.1-2.10.4 (data (ZIP, 221 KB))
  • Exercises 4.(11.5): Exercises 2.7.1-2.7.5 (theoretical exercises: to be handed in before the class on 11.5.)

Written exam, 2 hours.