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040250 VK KFK FE: Implementing Derivative Models (E) (2007W)

8.00 ECTS (4.00 SWS), SPL 4 - Wirtschaftswissenschaften

Prüfungsimmanente Lehrveranstaltung

ab 4.10.2006 Mi 16-19 Uhr, EDV-Labor 6, BWZ

Details

max. 50 Teilnehmer*innen

Sprache: Englisch

Lehrende

Hans Moritsch

Termine

Zur Zeit sind keine Termine bekannt.

Information

Ziele, Inhalte und Methode der Lehrveranstaltung

* Monte Carlo simulation
o Variance reduction: antithetic variables, control variates, importance sampling
o Random number generation
* Lattice methods
o Binomial
o Trinomial
* Finite difference methods
o Explicit finite differences
o Implicit finite differences
o Crank-Nicolson method
* Implied trees
* Interest rate models
o Black-Derman-Toy
o Hull and White

Art der Leistungskontrolle und erlaubte Hilfsmittel

Mindestanforderungen und Beurteilungsmaßstab

This course gives an understanding of numerical methods based on two fundamental concepts - stochastic processes and partial differential equations - for modelling derivative financial products. Numerical techniques are essential in many cases of instruments (such as "exotic" instruments) in which analytical pricing formulas do not exist.

Target groups are students of finance interested in computational aspects of derivatives pricing, and
students of computer science and business informatics interested in financial applications.

"Anrechenbar für WirtschaftsinformatikerInnen als Modul im Fach Wirtschaftswissenschaften."

Prüfungsstoff

Participants will learn how to implement these methods by writing computer programs in a high level programming language (Visual Basic, combined with Microsoft Excel), and how to apply them in the calculation of prices of derivative instruments. Different programming languages (such as C, Java, Fortran) can be used on a voluntary basis. An introductory tutorial will cover the basics of procedural programming using Visual Basic/MS Excel. A further tutorial on financial derivatives will be given on demand targeted at students of computer science and business informatics.

Literatur

* J.C. Hull. Options, Futures, and other Derivatives. Prentice Hall, 2005.
* S. Benninga. Financial Modeling. MIT-Press, 2000.
* L. Clewlow and C. Strickland. Implementing Derivatives Models. Wiley, 1998.
* P. Glasserman. Monte Carlo Methods in Financial Engineering. Springer, 2003.
* P. G. Zhang. Exotic Options: A Guide to Second Generation Options (2nd Edition). World Scientific, 2001.

Zuordnung im Vorlesungsverzeichnis

Letzte Änderung: Fr 31.08.2018 08:48