Information on the lecture and tutorials of Computational Finance (SS 2018)
Lecturer: Dr. Ernst August Frhr. v. Hammerstein
Lecture: Tuesdays, 14-16, PC-Pool -100/-101, University Computing Center (Rechenzentrum), Hermann-Herder-Str. 10
Tutorial: Thursdays, 14-16, PC-Pool -100/-101, University Computing Center (Rechenzentrum), Hermann-Herder-Str. 10
Registration
As work stations in the PC-Pools are limited, so has to be the number of participants of this course.
Therefore, a previous registration is necessary to participate. To apply for this, please send an email to ernst.august.hammerstein@stochastik.uni-freiburg.de, preferably not later than Sunday, April 15, 2018.
R Preparation Course
For economics students who are interested to participate, but have never used R before, an R preparation course where this knowledge can be acquired will be offered in the week before the summer term 2018 starts.
The preparation course takes place each time at 09:00 - 13:00, in PC-Pool-100/-101 in the basement of the University Computing Center, Herrman-Herder-Strasse 10, on
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Monday, April 9th, 2018,
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Tuesday, April 10th, 2018,
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Wednesday, April 11th, 2018,
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Thursday, April 12th, 2018.
Contents
The aim of this course is the application of the R programming environment to various topics of financial mathematics, among others are the calculation and visualization of interest rates, option prices, loss distributions and risk measures.
With help of the provided tools, we then develop some programs for bootstrapping zero rates, pricing vanilla options in binomial trees and exotic options in time-continuous models via Monte Carlo methods. We also regard some aspects of hedging and convergence in this context. Further we discuss the implementation of risk measures, the sampling of loss distributions in elementary credit risk models. Depending on the time left, we may additionally discuss the simulation of (approximate) solutions to stochastic differential equations.
Prerequisites
Final Exam
For details on the registration and the registration period for the first exam, please also look at the websites of the examination offices of Economics and Mathematics for further information!
The lecture is open for M.Sc. Economics, M.Sc. Mathematics, M.Sc. VWL/BWL and diploma students in their advanced study period.
In M.Sc. Economics, the course can be credited in the profiles "Finance" and "ISNE".
In M.Sc. Mathematics, the course can be credited for the special profile "Finanzmathematik" or as an elective (within the module Mathematik).
In M.Sc. VWL, the course can be credited for
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Quantitative Methods, VWL theory, or BWL (elective) (examination regulations from 2011)
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Accounting, Finance, and Taxation (examination regulations from 2014)
In M.Sc. BWL (Public and Non-Profit Management) the course can be credited as an elective in Quantitative Methods (Quantitative Methoden).
For VWL Diplom, the course can be credited in "Finanzmärkte und -management" or "Finanz- und Rechnungswesen".
Für Studierende der Mathematik, die nur eine Studienleistung erbringen müssen, zählt neben der regelmäßigen Teilnahme am Kurs das Bestehen der (in diesem Fall unbenoteten) Abschlussklausur als Studienleistung.
Literature
- Hull, J.C.: Options, Futures, and other Derivatives, 9th ed., PrenticeHall, 2014
- Lai, T.L., Xing, H.: Statistical Models and Methods for Financial Markets, Springer, 2008
- Seydel, R.U.: Tools for computational finance, 4th ed., Springer, 2009
- Braun, J., Murdoch, D.J.: A first course in statistical programming with R, Cambridge University Press, 2007
Software
The required software packages will be installed on the PCs in the computer pools, but if you want to continue the work with R at home on your PC or laptop, you can download the software from the following links below. It is free open-source software that can be used without any costs!
- R Project Homepage (download the software from the following CRAN-server: https://stat.ethz.ch/CRAN/)
- RStudio Homepage (download the software from https://www.rstudio.com/products/rstudio/download/)
Consultation hour