• Der Blick in die Zukunft (DMV) - Warum er für Händler und Anleger so schwierig ist.
Systems in Computational Economics and Finance (S.S. Nielsen, ed.), Kluwer Academic Publishers, Amsterdam (2002).
• D. Higham, An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation, Cambridge University Press, 2004. (with many MATLAB files)
• J.C. Hull, Options, Futures and other Derivatives, 3rd edition, Prentice Hall, 1997.
• P. Kloeden und E. Platen, Numerical solution of Stochastic Differential Equations, Springer, 1999.
• Y.K. Kwok, Mathematical Models of Financial Derivatives, Springer, Singapur, 1998.
• L.C.G. Rogers und D. Thalay, Numerical Methods in Finance, 1997.
• R. Seydel, Computational Finance, 4th edition, Springer, 2009.
• P. Wilmott, S. Howison und J. Dewyenne, The Mathematics of Financial Derivatives, Cambridge University Press, Cambridge 1996.
• U. Wystup, FX Options and Structured Products, Wiley Finance, 2006.
• P. Zhang, Exotic Options, World Scientific, Singapure 1997.

Links:

• Computational Finance domain www.compfin.de (R. Seydel)
• Modellierung und Numerische Methoden von Finanzderivaten (Wikiversity-Kurs)
• Financial Numerical Recipes in C++ (Bernt Arne Ødegaard)
• DAAD Project Fin-Diff-Fin: Finite differences for Financial derivative models

Didaktische Vortragstipps:
Wie halte ich einen Seminarvortrag (M.Lehn, Mainz)
Artikel 1, Artikel 2, Artikel 3

Links

• Master's program in Financial Mathematics (Numerical Methods), Halmstad University, Schweden.
• PREMIA - pricing financial derivatives Mathematics (MATHFI-Team at INRIA)
• Black-Scholes in Multiple Languages (Espen Haug)

Ähnliche Vorlesung im Sommersemester 2014