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Seminar über Versicherungs- und Finanzmathematik: Tools for Computational Finance
Organizers
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Prof. Freddy Delbaen & Dr. Marie Chazal
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Place
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HG E1.1
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Time
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Mondays 10:15-12:00
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First meeting
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Monday 07.11.2005
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Language
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The seminar will be held in English.
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Description
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Computational finance is an emerging discipline at the intersection of probability theory, numerical analysis and finance. We will study, implement and use methods and algorithms for the pricing of financial options. We will make the link between the pricing of options and Partial Differential Equations. Finite-difference and finite-element methods for the numerical solving of these PDEs will be explained. We will also study an algorithm due to Longstaff and Schwartz which consists in a Monte-Carlo method for the computation of American option prices, based on least squares regression.
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Literature
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- Seydel R.: Tools for Computational Finance. Springer Finance, Universitext, 2004.
- Longstaff F.A., Schwartz E.S.: Valuing American options by simulation: a simple least squares approach. Review of Financial Studies 14, p. 113–148, 2001.
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Schedule and Contents
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http://www.math.ethz.ch/~mchazal/Schedule.pdf
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