Computational Finance

This seminar offers a practice-oriented exploration of computational techniques in modern finance, with a particular emphasis on their implementation in MATLAB. Participants will work with real-world financial data to develop and apply numerical methods to core topics in asset pricing, risk measurement, and portfolio management. The seminar covers a range of applied themes, including data acquisition and processing, Monte Carlo simulation, Value at Risk, Markowitz portfolio optimization, the Capital Asset Pricing Model (CAPM) and multifactor models, as well as option pricing. The objective is to equip students with the methodological and
computational skills necessary to translate theoretical financial models into practical analytical tools, preparing them for both advanced academic work and professional applications in quantitative finance.

Learning Goals

• Develop practical skills in Matlab for financial data analysis, simulation, optimization, and pricing.
• Critically assess financial risk through techniques like Monte Carlo simulation and Value at Risk (VaR).
• Understand and apply key financial models such as CAPM, Markowitz optimization, and option pricing
  models in a quantitative framework.
• Enhance presentation skills by preparing and delivering a session on a selected technical topic.

Registration

The allocation of participants in the restricted Master’s courses will be done centrally via ORsign. Information about the registration procedure and deadlines can be found here: Study Management.

Further Information

For any further information, please write an e-mail to the instructor of this course, Marco Thalhammer.