lecturer:"Andreas Stein"

Numerical Methods for Finance

401-4658-00L 2004S , 2005S , 2006S , 2007S , 2008S , 2020S , 2021S , 2022S , 2023S , 2024S , 2025S , 2026S 6 Credits DR , MSC D-ITET , D-MATH , D-INFK

Introduction to principal methods of option pricing. Emphasis on PDE-based methods. Prerequisite MATLAB and Python programmingand knowledge of numerical mathematics at ETH BSc level.

2004S

Numerical Solution of Stochastic Ordinary Differential Equations

VVZ CR

401-4657-00L 2008W , 2020W , 2021W , 2022W , 2023W , 2024W , 2025W , 2026W 6 Credits BSC , DR , MSC D-MATH

This course is on the numerical approximations of stochastic ordinary differential equations (SDEs) driven by Brownian motions and Lévy processes. SDEs have several applications, for example in financial engineering.The contents cover stochastic processes, stochastic calculus, well-posedness results for SDEs, strong and weak approximations of SDEs, and simulation via Monte Carlo methods.

Numerical Methods for Finance

VVZ CR

401-4658-DRL 2022S , 2023S , 2024S 3 Credits DR D-MATH

TO BE ADJUSTEDIntroduction to principal methods of option pricing. Emphasis on PDE-based methods. Prerequisite MATLAB and Python programmingand knowledge of numerical mathematics at ETH BSc level.

2022S

2023S

Numerical Solution of Stochastic Ordinary Differential Equations

VVZ CR

401-4657-DRL 2022W , 2023W 3 Credits DR D-MATH

This course is on the numerical approximations of stochastic ordinary differential equations (SDEs) driven by Brownian motions and Lévy processes. SDEs have several applications, for example in financial engineering.The contents cover stochastic processes, stochastic calculus, well-posedness results for SDEs, strong and weak approximations of SDEs, and simulation via Monte Carlo methods.

2022W