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401-4658-00L 6 Credits DR , BSC , MSC , NDS D-USYS , D-MTEC , D-BAUG , D-MAVT , D-INFK , D-MATH , D-BIOL , D-ERDW , D-GESS , D-ITET , D-CHAB
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Computational Methods for Quantitative Finance

Lecturers: Prof. Dr. Christoph Schwab, Dr. Norbert Werner Hilber
Examiners: Prof. Dr. Christoph Schwab
VVZ CR n/a

Last Updated: 2026-02-05 15:29:50

Abstract

Introduction to principal methods of option pricing. Emphasis on 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
DR , BSC , MSC , NDS
Frequency
Yearly recurring

Examination

Type
end-of-semester examination
End-of-Semester examination will be *closed book*, 2hr in class, and will involvetheoretical as well as MATLAB programming problems.Examination will take place on ETH-workstations running MATLAB under LINUX.Own computer will NOT be required for the examination.

Course Components

Type Title Time & Place Hours
lecture Computational Methods for Quantitative Finance
Permission from lecturers required for all students.
  • Thu 10:15-12:00 (HG E 1.1)
  • 24.04 Date 08:15-12:00 (HG E 1.2)
2 h weekly
exercise Computational Methods for Quantitative Finance
  • Tue 12:15-13:00 (ML H 37.1)
1 h weekly

Offered In