Numerical Analysis of Stochastic Ordinary Differential Equations Autumn 2019

Alternative course title
Computational Methods for Quantitative Finance: Monte Carlo and Sampling Methods
Kristin Kirchner
Diyora Salimova
Bryn Davies, Martin Stefanik

Remaining schedule:

Mon, Dec 16, 15:15 -- 17:00: Questions and answers with Kristin, HG D1.2

Wed, Dec 18, 13:00 -- 15:00: Exam, HG E 19 – Students should arrive before 12:50



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 Monday, i.e. at 16:15.

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 Diyora Salimova 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 September 30 no templates Solution 1
Exercise sheet 2 October 7 no templates Solution 2
Exercise sheet 3 October 14 Templates sheet 3 Solution 3
Exercise sheet 4 October 21 no templates Solution 4
Exercise sheet 5 October 28 no templates Solution 5
Exercise sheet 6 November 4 no templates Solution 6
Exercise sheet 7 November 11 no templates Solution 7
Exercise sheet 8 November 18 no templates Solution 8
Exercise sheet 9 November 25 EulerMaruyama.m Solution 9
Exercise sheet 10 December 2 Templates sheet 10 Solution 10
Exercise sheet 11 December 9 no templates Solution 11
Wed 14:15-15:00HG D 7.1 Martin Stefanik (
Wed 14:15-15:00HG E 1.1 Bryn Davies (

Weekly office hour

Monday, 17:15 until 18:00 at the table at HG G 53.

Lecture Material

The aim of this course is to enable the students to carry out simulations and their mathematical convergence analysis for stochastic models originating from applications such as mathematical finance. For this the course teaches a decent knowledge of the different numerical methods, their underlying ideas, convergence properties and implementation issues.



Matlab Links

Students of ETH can download Matlab via Stud-IDES for free (product name 'Matlab free')