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Information on the lecture and tutorials of Computational Finance (SS 2020)

Lecturer:  Dr. Ernst August Frhr. v. Hammerstein

Lecture: Tuesdays, 10-12, PC-Pool 3, Werthmannstraße 4

Tutorial: Wednesdays, 10-12, PC-Pool 3, Werthmannstraße 4

Hinweis für Studierende im M.Sc. Mathematik: Die Veranstalung kann für die Spezialisierung "Finanzmathematik" im Master-Studiengang auch als wirtschaftswissenschaftliches Spezialisierungsmodul angerechnet werden.
 
The lecture starts on Tuesday, May 12, 2020.
 
The course accounts for 6 ECTS based on the successful participation in the final exam (see below).
 
 

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 Friday, May 8, 2020.

 
 

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.

 

 

Course Materials

All lessons, exercise solutions and data used in the course will also be available via ILIAS.
The password required for the course registration in ILIAS will be announced at the first course date (21.04.2020).

 

 

Prerequisites

This course is designed as follow-up to the lecture "Futures and Options" held by Prof. Dr. Lütkebohmert-Holtz in the winter term 2019/20. Participants should be somewhat familiar with the contents discussed there. For more information, see here.
 
Further, participants are expected to have some basic knowledge in using R as students of B.Sc. Mathematics usually acquire in the practical exercises of stochastics. Economics students ideally should have learned some R basics in courses accompanying lectures/seminars of Prof. Lütkebohmert-Holtz (or some other economics professors, of course).
 
Students who have no previous knowledge can learn a little bit about R from scratch by an introductory script with exercises which will be available in March via ILIAS. Pleae send an email to ernst.august.hammerstein@stochastik.uni-freiburg.de if you would like to have access to this script before the course starts.
 
 

Final Exam

The final exam is now scheduled for August 5, 2020, from 14-16 in the PC-Pools in Werthmannstr. 4.

 
For the successful participation in the exam, 6 ECTS can be credited.
 

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

  • Quantitative Methods, VWL theory, or BWL (elective) (examination regulations from 2011)

  • 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!

 

Consultation hour

Lecturer: In the summer term 2020 preferably via email. If necessary, appointments for a video conference can additionally be made.