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Computational Finance

Lecture and Tutorials

taught by Dr. E.A. v. Hammerstein

The lecture starts on Wednesday, October 19, 2016.

General timeline:

  • Lecture: Wednesdays, 16:00-18:00  (c.t.), Computerpool of the University Computing Center (Rechenzentrum), Hermann-Herder- Str. 10, room -100/-101 (in the basement).
  • Tutorial: Thursdays, 14:00-16:00 (c.t.), Computerpool of the University Computing Center (Rechenzentrum), Hermann-Herder- Str. 10, room -100/-101 (in the basement).

 

R prep course for students of Economics

  • Tuesday, 11.10.2016 to Friday, 14.10.2016, 9:00-13:00 Computerpool of the University Computing Center (Rechenzentrum), Hermann-Herder- Str. 10, room -100/-101 (in the basement).

 

Within this course, we will present applications and methods from various fields of financial mathematics (interest rates, option prices, loss distributions, and risk measures among others) and show how to implement and visualize them using R.

Some lessons will be based on topics that were discussed in the lecture "Futures and Options". Therefore, students who are interested to participate should be familiar with the contents of the latter lecture resp. should have attended it before.

Further, participants are expected to have some basic knowledge in using R as students of B.Sc. Mathematics usually acquire in the practical exercises of stochastics.

For economics students who are interested to participate, but have never used R before, an R prep course where this knowledge can be acquired will be offered in the week before the winter term 2016/17 starts (specific dates and rooms are given above).

The course accounts for 6 ECTS based on a 90min written exam.

As PCs are limited, please send an email to ernst.august.hammerstein@finance.uni-freiburg.de for application, preferably until the end of September 2016.

Please also indicate therein if you are interested to take the R prep course.

  

Exam

The final exam took place on February 28, 2017, in the Computerpool -100/-101of the University Computing Centre (Rechenzentrum). The results have already been entered in LSF resp. HISinOne and should now be visible to all participants.

The post exam review will take place on Thursday, April 20, 2017, from 10:00 - 11:30 in the office of Dr. v. Hammerstein (Eckerstraße 1, Room 248).

The retake exam is scheduled for Friday, June 2, 2017, from 10-12 in the Computerpool -100/-101 of the University Computing Centre.
To register for the retake exam, please send an email with your name, your matriculation number and the desired exam (Computational Finance 2016/17 retake) to the examination office economics or to the examination office mathematics.

 

 


The course is open for M.Sc. Economics, B.Sc. and M.Sc. Mathematics, M.Sc. VWL and diploma students in their advanced study period.

In M.Sc. Economics, the course can be credited in the profiles "Finance" and "Information Systems and Network Economics".

In M.Sc. Mathematics, the course can be credited for the profile "Finanzmathematik" or as an elective (in the module mathematics).

In B.Sc. Mathematics, the course can be credited as an elective.

In M.Sc. VWL, the course can be credited for

  • Quantitative Methods or BWL (elective) (examination regulations from 2011)
  • Accounting, Finance, and Taxation (new examination regulations, valid from winter term 2014/2015 onwards)

For VWL Diplom, the course can be credited in "Finanzmärkte und -management" or "Finanz- und Rechnungswesen".

 

For more information, please click here.

 

Software

Benutzerspezifische Werkzeuge