NSCPHD1082  Computational Finance (AAM)

Volume 2016/2017
Education

PhD Programme in Actuarial Mathematics
PhD Programme in Mathematics-Economics

Content

 

PLEASE NOTE         

The PhD course database is under construction. If you want to sign up for this course, please click on the link in order to be re-directed. Link: https://phdcourses.ku.dk/nat.aspx

 

See "Knowledge" below. 

Learning Outcome

Knowledge (= a rough lecture plan)

  • Rudimentary low-level programming.
  • Data and computational resources at Copenhagen University and beyond.
  • Monte Carlo simulation techniques in option pricing: Variance reduction, diffusion (and possibly Levy) process simulation, American options, adjoint techniques.
  • Numerical transform methods for option pricing.
  • Numerical optimization and model calibration.
  • Numerical methods for solving parabolic partial differential equations. 

 

Only a selection (based on lecturer and student interest) of the last three topics will be covered.

 

Skills

High- and low-level programming as fits the problem.

Extracting and handling financial data.

Effcient use computational resources, both wrt. hardware (distributed computing) and software (error order analysis).

Ability to implement Monte Carlo simulation techniques (to investigate pricing and hedging) for a large range of financial products and models.

Ability to implement a (limited) number of more specialized methods for more specific models and problems.

 

Competencies

Proficieny in classical and modern numerical methods for quantitative finance problems. This is a question of having both a sizeable "toolbox" and the ability pick the appropriate one in a given situation. 

Notes, articles and working papers 

A bachelor degree from the Departments of Mathematical Sciences (or something suitably close to that; computer science, polit, engineering, ...) plus (at least) working knowledge of continuous-time finance.
4 hours of lectures and and 2 hours of exercises per week for 9 weeks.
Credit
7,5 ECTS
Type of assessment
Continuous assessment
3 hand-ins over the course of the course.
Aid
All aids allowed
Marking scale
7-point grading scale
Censorship form
No external censorship
Re-exam

20 minute oral exam without preparation.

Criteria for exam assesment

The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.

  • Category
  • Hours
  • Lectures
  • 36
  • Theory exercises
  • 18
  • Project work
  • 76
  • Preparation
  • 76
  • Total
  • 206