Angewandte Finanzmathematik
Dr. Ari-Pekka Perkkiö
Schedule and Venue
| Events | Date/Time | Room |
|---|---|---|
| Lectures Dr. Ari-Pekka Perkkiö | Tue 10.15 - 12.00 | B121 (Quantlab) |
| Repetitorium Dr. Ari-Pekka Perkkiö | Wed 10.15 - 12.00 | B121 (Quantlab) |
| Exercise Dr. Ari-Pekka Perkkiö | Thu 10.15 - 12.00 | B121 (Quantlab) |
| Exam Retake Exam | Thu 10.00 - 12.00 7.10. Mon 14.00 - 16:00. | B121 (Quantlab) 121 (Quantlab) |
When sending emails, please always begin the subject with "AnFin2024"
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.
Exercises:
Exercise session 1 (18.4.): 2.2.1-2.2.3 in the lecture notes (template (M, 1 KB))
Exercise session 2 (25.4.): 2.4.1-2.4.3 (data (ZIP, 75 KB))
Exercise session 3 (2.5.): 2.10.1-2.10.4 (data (ZIP, 221 KB))
Exercise session 4 (16.5.): 2.7.1-2.7.5
Exercise session 5 (23.5.): 4.2.1-4.2.3
Exercise session 6 (13.6.): 5.3.1-5.3.3
Exercise session 7 (20..6): 6.2.1-6.2.4 (template (ZIP, 2 KB))
Exercise session 8 (27.6.): 4.3.1-4.3.4
Exercise session 9 (4.7.): 7.2.1-7.2.3
Exercise session 10 (11.7.): 7.5.1-7.5.4
TBA