- Financial Markets and Financial Derivatives

- Binomial Methods in the Discrete Black-Scholes Formula

- Black-Scholes Equation and its Numerical Evaluation

- Monte-Carlo Methods
- Numerical Solution of Parabolic Initial-Boundary Value Problems

- Pricing of American Options

- Pricing of Exotic Options

- R. Seydel; Tools for Computational Finance, 3rd Edition, Springer Berlin-Heidelberg-New York, 2006.

- Y. Achdou, O. Pironneau; Computational Methods for Option Pricing, SIAM, Philadelphia, 2005.

Monday | 4:00 - 5:30 pm | Room 350 PGH |

Wednesday | 4:00 - 5:30 pm | Room 350 PGH |

Chapter 1 |

Chapter 2 |

Chapter 3 |

Chapter 4 |

Chapter
5 |

Chapter
6 |

Chapter
7 |

Homework:

Homework 1 |

Homework 2 |

Homework
3 |

Homework 4 |

Homework
5 |

Homework 6 |

Homework 7 |

Homework 8 |

Homework 9 |

Prof. Dr. Ronald H.W. Hoppe | Dipl.Math. Christopher Linsenmann |

Office: 669 PGH Phone: (713) 743-3452 Fax: (713) 743-3505 Email: rohop@math.uh.edu |
Office: 678 PGH Phone: 713-743-3500 Email: linsen@math.uh.edu |