401-4658-00L  Computational Methods for Quantitative Finance: PDE Methods

SemesterSpring Semester 2021
LecturersC. Marcati, A. Stein
Periodicityyearly recurring course
Language of instructionEnglish


Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits6 credits
ExaminersC. Marcati, A. Stein
Typeend-of-semester examination
Language of examinationEnglish
RepetitionA repetition date will be offered in the first two weeks of the semester immediately consecutive.
Additional information on mode of examinationMeaningful solutions to 70% of 11 weekly homework assignments can count as bonus of up to +0.25 of final grade.

End-of-Semester examination will be *closed book*, 2hr in class, and will involve theoretical as well as MATLAB programming problems.

Examination will take place on ETH-workstations running MATLAB under LINUX.
Own computer will NOT be required for the examination.
Online examinationThe examination may take place on the computer.