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Information on the lecture and tutorials of Computational Finance (WS 2017/18)

Lecturer:  Dr. Ernst August Frhr. v. Hammerstein

Lecture: Wednesdays, 14-16 (new time!), PC-Pool -100/-101, University Computing Center (Rechenzentrum), Hermann-Herder-Str. 10

Tutorial: Thursdays, 16-18, PC-Pool -100/-101, University Computing Center (Rechenzentrum), Hermann-Herder-Str. 10

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 Wednesday, October 18, 2017.
 
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 Sunday, October 15, 2017.

 

 

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 winter term 2017/18 starts.

The preparation course takes place each time at 09:30am - 01:00pm, in  PC-Pool-100/-101 in the basement of the University Computing Center, Herrman-Herder-Strasse 10, on

  • Monday, October 9th, 2017,
  • Tuesday, October 10th, 2017,
  • Wednesday, October 11th, 2017.
 
As the number of the participants will be limited, please apply for the prep course via email to roberta.janosi@finance.uni-freiburg.de until October 4th, 2017.
 
 

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

This course is designed as follow-up to the lecture "Futures and Options" held by Prof. Dr. Lütkebohmert-Holtz in the summer term 2017. Participants should be sonewhat familiar with he contents discussed there. Alternatively, the lecture "Futures and Options" may be heard in parallel, it is offered his winter term also. 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 having no experience with R so far can acquire the necessary skills in a preceding R preparation course (see above).
 
 

Final Exam

The final exam will consist of some small programming exercises and will take place
on Friday, February 23rd, 2018, from 10-12 in the PC-Pools -100/-101, University Computing Center (Rechenzentrum).
 
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: Wednesday, 10-11, room 248, Eckerstr. 1