101.726 AKFVM-AKNUM Computational Finance
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2022W, VO, 3.0h, 4.5EC
TUWEL

Properties

  • Semester hours: 3.0
  • Credits: 4.5
  • Type: VO Lecture
  • Format: Hybrid

Learning outcomes

After successful completion of the course, students are able to develop models for a financial market und for financial derivates, to calculate the value of European and some exotic options by binomial and Monte-Carlo Methods and to solve stochastic differential equations and the obstacle problem for American options.

Subject of course

Ito-formula, Black-scholes model and its extensions, binomial methods, Monte-Carlo methods, finite-difference methods, American options as free boundary problems, applications: call options on Bitcoin, Asian options, swing options in electricity markets

Teaching methods

There will be lectures and exercises. In the lecture the theory will be introduced and examples will be calculated. There will be weekly exercise-sheets  which will have to be calculated by the students during the lecture.

Mode of examination

Oral

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Mon14:00 - 15:3003.10.2022 - 17.10.2022Sem.R. DA grün 06B Prof. Jüngel
Tue14:00 - 15:3004.10.2022 - 18.10.2022Sem.R. DA grün 06B Prof. Jüngel
Mon15:00 - 17:0024.10.2022 - 23.01.2023 DA 06 G14 Institutsbibliothek 6. OG, Freihaus, grünProf. Jüngel
Tue15:00 - 17:0025.10.2022 - 24.01.2023 DA 06 G14 Institutsbibliothek 6. OG, Freihaus, grünProf. Jüngel
AKFVM-AKNUM Computational Finance - Single appointments
DayDateTimeLocationDescription
Mon03.10.202214:00 - 15:30Sem.R. DA grün 06B Prof. Jüngel
Tue04.10.202214:00 - 15:30Sem.R. DA grün 06B Prof. Jüngel
Mon10.10.202214:00 - 15:30Sem.R. DA grün 06B Prof. Jüngel
Tue11.10.202214:00 - 15:30Sem.R. DA grün 06B Prof. Jüngel
Mon17.10.202214:00 - 15:30Sem.R. DA grün 06B Prof. Jüngel
Tue18.10.202214:00 - 15:30Sem.R. DA grün 06B Prof. Jüngel
Mon24.10.202215:00 - 17:00 DA 06 G14 Institutsbibliothek 6. OG, Freihaus, grünProf. Jüngel
Tue25.10.202215:00 - 17:00 DA 06 G14 Institutsbibliothek 6. OG, Freihaus, grünProf. Jüngel
Mon31.10.202215:00 - 17:00 DA 06 G14 Institutsbibliothek 6. OG, Freihaus, grünProf. Jüngel
Mon07.11.202215:00 - 17:00 DA 06 G14 Institutsbibliothek 6. OG, Freihaus, grünProf. Jüngel
Tue08.11.202215:00 - 17:00 DA 06 G14 Institutsbibliothek 6. OG, Freihaus, grünProf. Jüngel
Mon14.11.202215:00 - 17:00 DA 06 G14 Institutsbibliothek 6. OG, Freihaus, grünProf. Jüngel
Mon21.11.202215:00 - 17:00 DA 06 G14 Institutsbibliothek 6. OG, Freihaus, grünProf. Jüngel
Tue22.11.202215:00 - 17:00 DA 06 G14 Institutsbibliothek 6. OG, Freihaus, grünProf. Jüngel
Mon28.11.202215:00 - 17:00 DA 06 G14 Institutsbibliothek 6. OG, Freihaus, grünProf. Jüngel
Tue29.11.202215:00 - 17:00 DA 06 G14 Institutsbibliothek 6. OG, Freihaus, grünProf. Jüngel
Mon05.12.202215:00 - 17:00 DA 06 G14 Institutsbibliothek 6. OG, Freihaus, grünProf. Jüngel
Tue06.12.202215:00 - 17:00 DA 06 G14 Institutsbibliothek 6. OG, Freihaus, grünProf. Jüngel
Mon12.12.202215:00 - 17:00 DA 06 G14 Institutsbibliothek 6. OG, Freihaus, grünProf. Jüngel
Tue13.12.202215:00 - 17:00 DA 06 G14 Institutsbibliothek 6. OG, Freihaus, grünProf. Jüngel

Examination modalities

oral exam

Course registration

Not necessary

Curricula

Literature

Lecture notes are available at https://www.asc.tuwien.ac.at/~juengel -> Teaching -> Lecture Notes

Previous knowledge

Analysis, ordinary differential equations, basics of probability theory. Stochastic analysis and partial differential equations are not assumed

Language

English