Angewandte Finanzmathematik

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.

Lecture notes (PDF, 448 KB)

Exercises:

Exercise session 1 (16.4.): 2.2.1-2.2.3 in the lecture notes (template (M, 1 KB))

Exercise session 2 (23.4.): 2.4.1-2.4.3 (data (ZIP, 75 KB))

Exercise session 3 (): 2.10.1-2.10.4 (data (ZIP, 221 KB))

Exercise session 4 (): 2.7.1-2.7.5

Exercise session 5 ): 4.2.1-4.2.3

Exercise session 6 (): 5.3.1-5.3.3

Exercise session 7 (): 6.2.1-6.2.4 (template (ZIP, 2 KB))

Exercise session 8 (): 4.3.1-4.3.4

Exercise session 9 (): 7.2.1-7.2.3

Exercise session 10 (): 7.5.1-7.5.4

TBA