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 point out your issue that we can resolve it.
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 an additive bonus of 0.25 on their final grade (e.g. grade 4.5 (without bonus) will be grade 4.75 (with bonus)).
(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 | 27 Feb 2019 | templates01 | distributed 1 Mar 2019 |
| Exercise sheet 2 | 6 Mar 2019 | templates02 | distributed 8 Mar 2019 |
| Exercise sheet 3 | 13 Mar 2019 | templates03 | distributed 15 Mar 2019 |
| Exercise sheet 4 | 20 Mar 2019 | templates04 | distributed 22 Mar 2019 |
| Exercise sheet 5 | 27 Mar 2019 | templates05 | distributed 29 Mar 2019 |
| Exercise sheet 6 | 3 Apr 2019 | templates06 | distributed 5 Apr 2019 |
| Exercise sheet 7 | 10 Apr 2019 | templates07 | distributed 12 Apr 2019 |
| Exercise sheet 8a | 17 Apr 2019 | templates08a | distributed 3 May 2019 |
| Exercise sheet 8b | 30 Apr 2019 | templates08b | distributed 3 May 2019 |
| Exercise sheet 9 | 8 May 2019 | templates09 | distributed 10 May 2019 |
| Exercise sheet 10 | 15 May 2019 | templates10 | distributed 17 May 2019 |
| Exercise sheet 11 | 22 May 2019 | tba |
| time | room | assistant | distribution by ECHO system |
|---|---|---|---|
| Fr 13-14 | HG D1.2 | Bryn Davies | registration open |
| Fr 15-16 | HG D1.2 | Carlo Marcati | registration open |
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: