110221 Derivatives Lab

Course offering details

Instructors: Prof. Dr. Marcel Oliver

Type: Lab

Org-unit:

Course Name Abbreviation: DerivLab

Credits: 7.50

Min. | Max. participants: - | -

Partial Grades:
Final Grade

Official Course Description:
The course gives a first practical introduction to stochastic processes and to the pricing of derivative assets in finance.
The lab will cover binomial tree models, discrete Brownian paths, solution of stochastic ODEs, numerical optimal stopping, methods for time series analysis, GARCH models, parameter estimation and calibration , Monte-Carlo methods, and finite differences solutions for the Black-Scholes equation. Students will program and explore all basic techniques in a numerical programming environment and apply these algorithms to real data whenever possible.

Literature
Primary Text
Required Reading (To view a list click a category.)
Recommended Reading (To view a list click a category.)
Appointments
Date From To Room Instructors
1 Mon, 5. Sep. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
2 Tue, 6. Sep. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
3 Mon, 12. Sep. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
4 Tue, 13. Sep. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
5 Mon, 19. Sep. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
6 Tue, 20. Sep. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
7 Mon, 26. Sep. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
8 Tue, 27. Sep. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
9 Tue, 4. Oct. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
10 Mon, 10. Oct. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
11 Tue, 11. Oct. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
12 Wed, 12. Oct. 2011 15:45 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
13 Mon, 24. Oct. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
14 Tue, 25. Oct. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
15 Mon, 31. Oct. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
16 Tue, 1. Nov. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
17 Mon, 7. Nov. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
18 Tue, 8. Nov. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
19 Mon, 14. Nov. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
20 Tue, 15. Nov. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
21 Mon, 21. Nov. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
22 Tue, 22. Nov. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
23 Mon, 28. Nov. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
24 Tue, 29. Nov. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
25 Mon, 5. Dec. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
26 Tue, 6. Dec. 2011 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
Course specific exams
Description Date Instructors Mandatory
1. Final Grade No Date No
2. Final Grade No Date No
Contained in course catalogues
Course catalogue
Course Catalogue > School of Engineering and Science > Undergraduate Programs > Applied and Computational Mathematics
Class Session Overview
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Instructors
Prof. Dr. Marcel Oliver