Computational Methods for Quantitative Finance: PDE Methods Spring 2019

Kristin Kirchner, Lukas Herrmann
Bryn Davies, Carlo Marcati

Exam inspection:


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 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:

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 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
timeroomassistantdistribution by ECHO system
Fr 13-14HG D1.2 Bryn Davies registration open
Fr 15-16HG D1.2 Carlo Marcati registration open

Weekly office hour

Friday, 15:30 until 16:30 at the table at HG G 53.

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