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401-4658-00L 7 Credits
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Computational Methods for Qantitative Finance

Computational Methods for Quantitative Finance

Lecturers & Examiners: Prof. Dr. Christoph Schwab
VVZ CR n/a

Last Updated: 2026-02-05 15:02:35

Abstract

The course will discuss numerical methods for the pricing of derivative contracts. General Levy and Stochastic Volatility typeprice processes and a wide variety of contracts will be covered. Deterministic Finite Element based methods and stochastic,Monte Carlo type methods will be considered.

Content

Numerical solution of initial value problems for stochastic differential equations Finite differences for the Black-Scholes equation European and American contracts, exoctic contracts Finite Element Methods for the Black-Scholes equation and its variants Pricing under stochastic volatility Pricing in Levy Markets.

Resources

Lecture Notes

Lecture notes in English language will be available.

Literature

R. Cont and P. Tankov: Financial Modelling with Jump Processes, Wiley 2005.

General Information

Language
English
Frequency
Yearly recurring

Examination

Type
session examination
Mode
oral 30 minutes

Course Components

Type Title Time & Place Hours
lecture Computational Methods for Quantitative Finance
  • Thu 15:15-17:00 (HG G 3)
  • 21.04 Date 15:15-17:00 (HG E 33.3)
2 h weekly
exercise Computational Methods for Quantitative Finance
  • Tue 14:15-15:00 (HG D 7.2)
1 h weekly

Offered In