Computational Finance

Synopsis:

This lecture focuses on different methods and models from risk management and asset pricing against the background of a fast and efficient numerical computation. During the course of the lecture, we will put a special emphasis on different algorithms for pricing options (and other derivatives). All algorithms will be illustrated in applications from banking, insurance, energy risk management and will be implemented in MATLAB.

Prerequisites:
Basic knowledge of derivatives, computer programming (not necessarily in MATLAB), and basic principles of finance.

Topics:
  • Introduction to the numerical solution of simple problems from finance

  • Portfolio theory

  • Portfolio optimization, methods of convex optimization

  • Asset pricing models

  • Solving non-linear equation systems, matrix decompositions, applications from investment and finance

  • Interest rate models, polynomial and spline interpolation

  • Forwards and futures

  • Yield curve approximation
Material:
Slides and additional material for all lectures can be accessed via the links given below (it is a cloud folder). The password will be distributed via email and will also be available on the blackboard of the Chair of Banking.
Previous exams:
Exams

Student evaluation (!)

Time:
Lecture: Tuesday, 15h-17h.
First lecture: April 2nd, 2019.

Tutorial: Online.

Financial modeling with MATLAB/Octave: Online, see the YouTube playlist for the class.

Room:
Lecture: SR 6

Course language:
English (current slides are only distributed in English).

ERASMUS information:
Exchange students can choose between a written exam at the end of the semester or an ERASMUS paper.
  • Written exam: check the information given out by our exam office (Prüfungsmanagement), 1st floor Institutsgebäude.
  • ERASMUS paper:
    • Deadline for handing in the term paper is July 26th 2019.
    • Please hand in your term paper in time via e-mail to banken /at/ wifa dot uni-leipzig.de (our secretariat's mail address).
Videos from previous semesters:
Live recordings from this year's lecture will be made available on YouTube as soon as the videos have been produced. A link to the lecture's video channel is shown in the pdf of the first set of lecture slides.