A closed-book, computer-based exam will take place
There will be weekly homework assignments, which are due in the break between the two hours of lecture on Wednesday, i.e. at 14:15.
Solutions to the theoretical questions can be handed in in the lecture room in paper or scanned and submitted via e-mail before the deadline. Code must be handed in online using the submission interface. Only in case the submission does not work: send your codes via E-Mail to your assistant and contact Lukas Herrmann to update the configuration of the submission interface.
Submissions of problem sheets in a group are not allowed.
Each problem will be marked according to the following scheme:
MUST take the written exam at the end of the semester. Students who acquire at least 70% of the points attainable by doing the weekly problem sheets, i.e., in average 0.7 points per exercise, are given a bonus of 10% on their exam result.
(i.e. only require a "pass" grade, which includes D-MATH PhD students at ETH) must achieve at least 70% of the maximal number of points attainable by sufficient submission of the weekly homework problem sheets, i.e. in average 0.7 points must be achieved per problem. Students who did not achieve the required percentage of points in the weekly homework problem sheets can still achieve a "pass" by taking the final written exam.
| exercise sheet | due by | code templates | solutions |
|---|---|---|---|
| Exercise sheet 1 | March 08 | templates01 | distributed on March 10 |
| Exercise sheet 2 | March 15 | templates02 | distributed on March 17 |
| Exercise sheet 3 | March 22 | templates03 | distributed on March 24 |
| Exercise sheet 4 | March 29 | templates04 | distributed on March 31 |
| Exercise sheet 5 | April 5 | templates05 | distributed on April 7 |
| Exercise sheet 6 | April 12 | templates06 | distributed on April 28 |
| Exercise sheet 7 | April 26 | templates07 | distributed on April 28 |
| Exercise sheet 8 | May 3 | templates08 | distributed on May 5 |
| Exercise sheet 9 | May 10 | templates09 | distributed on May 12 |
| Exercise sheet 10 | May 17 | templates10 | distributed on May 19 |
| Exercise sheet 11 | May 24 | templates11 | distributed on tba |
| time | room | assistant | distribution by surnames |
|---|---|---|---|
| Fr 14-15 | HG D 1.2 | Lukas Herrmann (lukas.herrmann@sam.math.ethz.ch) | A - H |
| Fr 14-15 | HG D 3.2 | Diyora Salimova (diyora.salimova@sam.math.ethz.ch) | I - R |
| Fr 14-15 | HG G 26.1 | Lukas Gonon (lukas.gonon@math.ethz.ch) | S - Z |
The main methods of option pricing for efficient numerical valuation of derivative contracts in a Black-Scholes as well as in incomplete markets due to Levy processes or due to stochastic volatility models with emphasis on PDE-based methods are introduced. Further, implementation of pricing methods in MATLAB is developed.
Students of ETH can download Matlab via Stud-IDES for free (product name 'Matlab free')
The course will mainly be based on the following book: