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402-0816-00L  Computational Physics and Econophysics

SemesterFrühjahrssemester 2016
DozierendeD. Würtz
Periodizitätjährlich wiederkehrende Veranstaltung

KurzbeschreibungIntroduction to principles of computational finance and financial engineering from an econophysicist point of view. Prerequisite R/SPlus programming.
LernzielIntroducing main statistical methods for numerical modelling of financial
time series, valuation of derivatives, and optimization of portfolios.
Implementing numerical methods using the statistical software environment R.
Inhalt- Overview on R/Rmetrics and SPlus/Finmetrics.
- Financial Returns, Stylized Facts, Stable and Hyperbolic Distributions
- ARMA and GARCH Time Series Modelling, Trends and Unit Roots
- Technical Analysis, Trading Models and Decision Making
- Extreme Value Theory and Dependence Structures (Copulae)
- Plain Vanilla and Exotic Option Pricing, Monte Carlo Simulations
- Markowitz and CVaR Portfolio Optimization
SkriptLecture notes written in English as well as R/Rmetrics software for
registered participants in the course.