Numerical Methods for Option Pricing in Finance

Fall 2007

Prof. Dr. Ronald H.W. Hoppe

Contents:
  1. Financial Markets and Financial Derivatives
  2. Binomial Methods in the Discrete Black-Scholes Formula
  3. Black-Scholes Equation and its Numerical Evaluation
  4. Monte-Carlo Methods
  5. Numerical Solution of Parabolic Initial-Boundary Value Problems
  6. Pricing of American Options
  7. Pricing of Exotic Options
Prerequisites: Graduate standing or consent of instructor.

Textbooks: 
  1. R. Seydel; Tools for Computational Finance, 3rd Edition, Springer Berlin-Heidelberg-New York, 2006.
  2. Y. Achdou, O. Pironneau; Computational Methods for Option Pricing, SIAM, Philadelphia, 2005.


Time table:
Monday 4:00 - 5:30 pm Room 350 PGH
Wednesday 4:00 - 5:30 pm Room 350 PGH

Script:
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

Contact:

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