Exercise - Computational Finance WS 11/12

Exercise Sheets

• I. Modelling Tools for Financial Options
• 1. The Binomial Method (pdf)
• 2. Stochastic Processes (pdf)
• 3. 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)
• IV. Standard Methods for Standard Options
• 6. Stability Analysis (pdf)
• 7. Semidiscretization (pdf)
• 8. Successive Overrelaxation Method and Front-Fixing Approach (pdf)
• V. Finite Element Methods
• 9. B-Spline and Hat-Functions (pdf)
• 10. Finite Elements and Divergence-Free Formulation (pdf)
• VI Pricing of Exotic Options
• 11. von Neumann's Stability Analysis and TVD Property (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 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)
• Black-Scholes in Multiple Languages (Espen Haug)

ehrhardt@math.uni-wuppertal.de