Numerical Methods for Option Pricing in Finance

Spring 2013

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.


Script:
Chapter 1
Chapter 2
Chapter 3
Chapter 4
Chapter 5
Chapter 6
Chapter 7


Contact:

Prof. Dr. Ronald H.W. Hoppe
Office: 669 PGH
Phone: (713) 743-3452
Fax: (713) 743-3505
Email: rohop@math.uh.edu