AKVFM Numerische Bepreisung von Derivaten

• University: FAM, Vienna University of Technology
• Lecturer: Reinhold Kainhofer
• Term: Spring Semester 2008
• Credits: 3 hours per week

General information about the course, topics, times and modalities can be found in TUWIS of the TU Wien (the course management system of the Vienna University of Technology)

• Aufgabenzettel 1
• Aufgabenzettel 2

• Glasserman, Paul: Monte Carlo Methods in Financial Engineering. Springer, 2004.
• Seydel, Rüdiger: Tools for Computational Finance. 2nd edition. Springer, 2004.
• Hull, John C.: Optionen, Futures und andere Derivate. Pearson Studium, 2006.
• Luenberger, David G.: Investment Science. Oxford University Press, 1997.
• Niederreiter, Harald: Random Number Generation and Quasi-Monte Carlo Methods. CBMS-NSF, SIAM, 1992.
• Jäckel, Peter: Monte Carlo Methods in Finance. Wiley, 2003. (Errata)
• Longstaff, Francis A. and Schwartz, Eduardo S.: Valuing American Options by Simulation: A Simple Least-Squares Approach. The Review of Financial Studies, volume 14, 2001 (1), pp 113-147.