Antonis Papapantoleon
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3236 L 371 Computational Finance
The course is taught jointly by: The lectures take place on:- Monday 10:00–12:00 @ MA 742
- Wednesday 10:00–12:00 @ MA 742
Course description and outline: PDF
Lecture notes: PDF [an updated version: PDF]
Slides of the introductory lecture: PDF
Programming exercises
- Exercise 1: PDF [Submission deadline: 29 May 2016]
- Exercise 2: PDF
[Submission deadline: 3 July 2016]
- Exercise 3: PDF
[Submission deadline: 17 July 2016]
- Exercise 4: PDF
[Submission deadline: 31 August 2016]
- Scilab website
- Introduction to Scilab: PDF
- Black–Scholes formula: code
- Monte Carlo method: code, run
Mathematical Finance
- S. Shreve: Stochastic Calculus for Finance II. Springer, 2004.
- M. Musiela, M. Rutkowski: Martingale Methods in Financial Modelling. Springer, 2009.
- D. Filipovic: Term-Structure Models: A Graduate Course. Springer, 2009.
- P. Glasserman: Monte Carlo Methods in Financial Engineering, Springer, 2003.
- A. Hirsa: Computational Methods in Finance, Chapman & Hall/CRC, 2012.
- P. Kloeden, E. Platen: Numerical Solution of Stochastic Differential Equations, Springer, 1992.
- R. Seydel: Tools for Computational Finance, Springer, 2009.
- A. Papapantoleon: An introduction to Lévy processes with applications in finance. Lecture notes, TU Vienna, 2008
- D. Filipovic, E. Mayerhofer: Affine diffusion processes: theory and applications. In Advanced Financial Modelling, pp. 125–164, de Gruyter, 2009.
- E. Eberlein, K. Glau, A. Papapantoleon: Analysis of Fourier transform valuation formulas and applications. Applied Mathematical Finance 17, 211–240, 2010.
- N. Metropolis: The beginning of the Monte Carlo method. Los Alamos Science (Special Issue dedicated to Stanisław Ulam), 125–130, 1987.