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401-4658-00L 7 Credits BSC , DR , NDS , MSC D-USYS , D-MAVT , D-MTEC , D-MATH , D-BIOL , D-ARCH , D-INFK , D-BAUG , D-PHYS , D-GESS , D-CHAB
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Computational Methods for Quantitative Finance

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

Last Updated: 2026-02-05 15:19:41

Abstract

Introduction to principal methods of option pricing. Emphasis on Monte Carlo and PDE-based methods. Prerequisite MATLAB programming.

Objective

Introduce the main methods for efficient numerical valuation of derivative contracts in a Black Scholes as well as in incomplete markets due Levy processes or due to stochastic volatility models. Develop implementation of pricing methods in MATLAB. Methods based on simulation of sample paths as well as Finite-Difference/ Finite Element based methods for the solution of the pricing integrodifferential equation.

Content

Same text as in Originalsprache.

Resources

Lecture Notes

There will be english, typed lecture notes as well as MATLAB software forregistered participants in the course.

Literature

same as in Originalsprache.

General Information

Language
English
Levels
BSC , DR , NDS , MSC
Frequency
Yearly recurring

Examination

Type
session examination
Mode
oral 25 minutes

Course Components

Type Title Time & Place Hours
lecture Computational Methods for Quantitative Finance
Permission from lecturers required for all students.
  • Wed 08:15-10:00 (HG D 1.1)
2 h weekly
exercise Computational Methods for Quantitative Finance
  • Tue 14:15-15:00 (HG D 7.2)
1 h weekly

Offered In