Alexander Schröter - Seminar Winter 11/12

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University of Cologne

Faculty of Mathematics and Natural Sciences

Mathematical Institute, Group Prof. Dr. Rüdiger Seydel

Univ. Cologne / Faculty of Math. and Nat. Sciences / Math. Institute / Group Prof. Dr. Rüdiger Seydel / Alexander Schröter / Winter term 2011/2012 /

Seminar on Numerical Mathematics and Computational Finance
Prof. Dr. Rüdiger Seydel, Dipl.-Wirt-math. Alexander Schröter

Time and place:

Term: winter 2011/2012
Time: thursday, 12 am - 1:30 pm
Place: seminar room 2, Mathematical Institute
Start: 13/10/2011

General information:

Kind of talk: using the blackboard
Length of talk: approx. 60 min
Written elaboration: not necessary
Handout: desirable (max. 2 pages)
Registration: Please fill in the appropriate registration form and bring it along to the first date
Attendance: necessary at all dates
Marking: takes place at the end of term
Bibliography

Timetable (temporarily):

Date:	Speaker:	Topic of speech:
13/10/2011	Christoph Heuser	ADI finite difference schemes for the Heston-Hull-White PDE
20/10/2011	Thomas Walawgo	Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options
27/10/2011	Christian Bings	Efficient Numerical Methods for Pricing American Options under Stochastic Volatility
03/11/2011	Pascal Riehn	A Novel Pricing Method for European Options based on Fourier-Cosine Series Expansions
10/11/2011	Christina Schulz	The Ziggurat Method for Generating Random Variables
17/11/2011	Tobias Stursberg	A Fast Vectorised Implementation of Wallace's Normal Random Generator

Last modified: 31.03.2011 18:00:00