312.243 (19W) Selected Topics in Stochastic Processes (Simulation Methods), Exercises

Wintersemester 2019/20

Anmeldefrist abgelaufen.

Erster Termin der LV
24.10.2019 10:00 - 11:00 , HS 11
Nächster Termin:
21.11.2019 10:00 - 11:00 , HS 11
Nächster gültiger Termin:
28.11.2019 10:00 - 11:00 , HS 11

Überblick

Lehrende/r
LV-Titel englisch
Selected Topics in Stochastic Processes (Simulation Methods), Exercises
LV-Art
Übung (prüfungsimmanente LV )
Semesterstunde/n
1.0
ECTS-Anrechungspunkte
2.0
Anmeldungen
7 (25 max.)
Organisationseinheit
Unterrichtssprache
Englisch
LV-Beginn
24.10.2019

LV-Beschreibung

Intendierte Lernergebnisse

The students shall be able to make use of stochastic simulation methods to solve problems in financial engineering.

Lehrmethodik

Coding exercises with consideration of the students' different background.

This class should be taken in combination with the respective lecture.

Inhalt/e

The topics will be adapted to the students' background.
Possible topics include:
Option pricing via the Black-Scholes PDE
Monte Carlo
Variance reduction methods
Simulation of Brownian paths
Simulation of jump processes
quasi-Monte Carlo
Numerics for SDEs
multilevel-Monte Carlo

Erwartete Vorkenntnisse

The class is formatted to be open to bachelor and master students in Mathematics and Economics students. Also students within the teacher education programme are welcome. The course will be adapted to the students' knowledge. Basic knowledge in Stochastics is however required.

Literatur

  1. Paul Glasserman: Monte Carlo Methods in Financial Engineering, Springer, 2003
  2. Hansjörg Albrecher,  Andreas Binder, Volkmar Lautscham, Philipp Mayer: Introduction to Quantitative Methods for Financial Markets, Birkhäuser, 2013
  3. Gunther Leobacher, Friedrich Pillchishammer: Introduction to Quasi-Monte Carlo Integration and Applications, Springer, 2014
  4. Rüdiger Seydel: Tools for Computational Finance, Springer, 2017


Prüfungsinformationen

Prüfungsmethode/n

There will be programming exercises.
The point scheme is as follows:
100-87 p. -> 1
86-75 p. -> 2
74-62 p. -> 3
61-50 p. -> 4
49-0 p. -> 5

Prüfungsinhalt/e

Everything that is covered in the lecture and hence also in the exercise class.
If additional reading is required for the lecture, this will be clearly announced in the lecture.

Beurteilungskriterien/-maßstäbe

The mark depends only on the number of points the student achieves at the programming exercises.

Sign-out without grading is possible until October 31, 2019.

Beurteilungsschema

Note/Grade Benotungsschema

Position im Curriculum

  • Doktoratsprogramm Modeling-Analysis-Optimization of discrete, continuous and stochastic systems (SKZ: ---, Version: 16W.1)
    • Fach: Modeling-Analysis-Optimization of discrete, continuous and stochastic systems (Pflichtfach)
      • Modeling-Analysis - Optimization of discrete, continuous and stochastic systems ( 0.0h XX / 0.0 ECTS)
        • 312.243 Selected Topics in Stochastic Processes (Simulation Methods), Exercises (1.0h UE / 2.0 ECTS)
  • Bachelorstudium Technische Mathematik (SKZ: 201, Version: 17W.1)
    • Fach: Angewandte Statistik (Wahlfach)
      • 9.7 Ausgewählte Kapitel der Statistik ( 1.0h UE / 2.0 ECTS)
        • 312.243 Selected Topics in Stochastic Processes (Simulation Methods), Exercises (1.0h UE / 2.0 ECTS)
          Absolvierung im 5., 6. Semester empfohlen
  • Bachelorstudium Technische Mathematik (SKZ: 201, Version: 12W.2)
    • Fach: Angewandte Statistik (Wahlfach)
      • Ausgewählte Kapitel der Statistik ( 3.0h VU / 5.0 ECTS)
        • 312.243 Selected Topics in Stochastic Processes (Simulation Methods), Exercises (1.0h UE / 2.0 ECTS)
  • Masterstudium Mathematics (SKZ: 401, Version: 18W.1)
    • Fach: Applied Statistics (Wahlfach)
      • 5.8 Selected Topics in Stochastic Processes ( 1.0h UE / 2.0 ECTS)
        • 312.243 Selected Topics in Stochastic Processes (Simulation Methods), Exercises (1.0h UE / 2.0 ECTS)
  • Masterstudium Mathematics (SKZ: 401, Version: 18W.1)
    • Fach: Applied Mathematics (Wahlfach)
      • Lehrveranstaltungen aus den Vertiefungsfächern ( 0.0h XX / 12.0 ECTS)
        • 312.243 Selected Topics in Stochastic Processes (Simulation Methods), Exercises (1.0h UE / 2.0 ECTS)
  • Masterstudium Technische Mathematik (SKZ: 401, Version: 13W.1)
    • Fach: Angewandte Statistik (Wahlfach)
      • Ausgewählte Kapitel der Stochastischen Prozesse ( 3.0h VU / 5.0 ECTS)
        • 312.243 Selected Topics in Stochastic Processes (Simulation Methods), Exercises (1.0h UE / 2.0 ECTS)
  • Doktoratsstudium Doktoratsstudium der Technischen Wissenschaften (SKZ: 786, Version: 12W.4)
    • Fach: Studienleistungen gem. § 3 Abs. 2a des Curriculums (Pflichtfach)
      • Studienleistungen gem. § 3 Abs. 2a des Curriculums ( 16.0h XX / 32.0 ECTS)
        • 312.243 Selected Topics in Stochastic Processes (Simulation Methods), Exercises (1.0h UE / 2.0 ECTS)

Gleichwertige Lehrveranstaltungen im Sinne der Prüfungsantrittszählung

Diese Lehrveranstaltung ist keiner Kette zugeordnet