Computational Methods for Quantitative Finance: PDE Methods Spring 2018

Christoph Schwab
Lukas Herrmann, Diyora Salimova

Exam inspection: Fri, Sept 28, 2018, 12:00 -- 13:00, HG F 33.1

First lecture: Wed, Feb 28, 2018, 2nd week of FS18, 13:15 -- 15:00 HG D1.2


A closed-book, computer-based exam will take place

The exam will be similar to the homework problems. MATLAB programming will be part of the examination. Students will take the exam on ETH workstations with preinstalled MATLAB and Swiss keyboard layout. [Use of own computer is not permitted].

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:

Students who need a numerical mark

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 an additive bonus of 0.25 on their final grade (e.g. grade 4.5 (without bonus) will be grade 4.75 (with bonus)).

Students who do not need a numerical mark

(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 07 templates01 distributed on March 9
Exercise sheet 2 March 21 templates02 distributed on March 23
Exercise sheet 3 March 28 templates03 distributed on April 13
Exercise sheet 4 April 11 templates04 distributed on April 13
Exercise sheet 5 April 18 templates05 distributed on April 20
Exercise sheet 6 April 25 templates06 distributed on April 27
Exercise sheet 7 May 2 templates07 distributed on May 4
Exercise sheet 8 May 9 templates08 distributed on May 11
Exercise sheet 9 May 16 templates09 distributed on May 18
Exercise sheet 10 May 23 templates10 distributed on May 25
timeroomassistantdistribution by surnames
Fr 14-15HG D1.2 Diyora Salimova ( and Lukas Herrmann ( A - K
Fr 14-15HG G5 Lukas Gonon ( - Z
For Matlab or programming related questions the teaching assistant Filip Janicki (fjanicki at is knowledgable. Matlab file used in the Matlab tutorial on March 7 is available here .

Lecture Material

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.



Matlab Links

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:

Further Literature