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 an introduction to finance (bonds, yields, immunization), binomial tree
models, discrete Brownian paths, solution of stochastic ODEs, Monte-Carlo methods, finite differences
solutions for the Black-Scholes equation, and an introduction to time series analysis,
parameter estimation, and calibration. 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, 29. Oct. 2012 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
2 Tue, 30. Oct. 2012 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
3 Mon, 5. Nov. 2012 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
4 Tue, 6. Nov. 2012 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
5 Mon, 12. Nov. 2012 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
6 Tue, 13. Nov. 2012 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
7 Mon, 19. Nov. 2012 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
8 Tue, 20. Nov. 2012 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
9 Mon, 26. Nov. 2012 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
10 Tue, 27. Nov. 2012 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
11 Mon, 3. Dec. 2012 14:15 18:30 Lecture Hall Research I Prof. Dr. Marcel Oliver
12 Tue, 4. Dec. 2012 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
Contained in course catalogues
Course catalogue
Course Catalogue > School of Engineering and Science > Mathematical Sciences > Undergraduate Level Courses
Class Session Overview
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Instructors
Prof. Dr. Marcel Oliver