Exercise - Computational Finance SS 2014

Exercise Sheets

• I. Modelling Tools for Financial Options
• 1. Options (pdf)
• 2. The Binomial Method (pdf)
• 3. Stochastic Processes (pdf)
• 4. Implied Volatility (pdf)
• II. Generating Random Numbers with Specified Distributions
• 4. Properties of Random Numbers Generators (pdf)
• III. Monte Carlo Simulations with Stochastic Differential Equations
• 5. Euler & Maruyama Method and Milstein Scheme (pdf)

Informationsmaterial zu Matlab und Scilab

• 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 HiPeCa: High Performance Calibration and Computation in Finance
• DAAD Project NL-BS: Numerical Solution of Nonlinear Black-Scholes Equations
• DAAD Project Fin-Diff-Fin: Finite differences for Financial derivative models
• Master's program in Financial Mathematics (Numerical Methods), Halmstad University, Schweden.
• PREMIA - pricing financial derivatives Mathematics (MATHFI-Team at INRIA)

ehrhardt@math.uni-wuppertal.de