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Practical Lab WS 19/20 Practical Lab Numerical Simulation

Computational Finance

Under direction of
Prof. Michael Griebel
Assistant
Dr. Bastian Bohn
Date
Wednesdays, 14:15 to 16:00 in room 2.035 (Endenicher Allee 19b)
Tutorial
Mondays, 13:15 to 14:45 in room 2.038 (Endenicher Allee 19b)
Contact
Please use ed tod nnob-inu tod sni ta balecnanifa tod b@foo tod de to contact us.

Material

You find the common worksheets in the download bar to the left. You can find the master worksheet here. The password will be given out in the first meeting.

Files mentioned on the first worksheet: Task1.cpp, Makefile, doxygenConfig.cfg

Registration

Please send an e-mail to the ed tod nnob-inu tod sni ta balecnanifa tod b@foo tod de. Places are distributed in a first come, first serve manner. If the number of registrations exceeds our limit, we will close the registration.

Content

In this practical lab, we teach the mathematical and technical basics necessary for the valuation of some financial derivatives. A strong emphasis is put on algorithms and efficient implementation. Roughly every two/three weeks a new practice sheet is given to the participants. Arising questions and problems will be discussed the week after. The tasks will be worked on in small groups. Depending on the technical proficiency, the time needed will be about 6-10 hours a week.

Background

The precise and efficient valuation of financial derivatives, i.e. options, is of central importance to the finance industry. For plain vanilla European options the theory of Black, Scholes und Merton allows a quick and easy valuation. However, for practically relevant, more complex options, tools from computational finance are needed.

Requirements

Basic experience in C/C++ is a necessary requirement. Also, basic knowledge in numerics and stochastics are beneficial.

Submissions to the exercise sheets

Each working group should send their submissions to the exercise sheets to ed tod nnob-inu tod sni ta balecnanifa tod b@foo tod de. The solutions to the worksheets will be disussed with each group separately. Appointments will be made on short notice.