蒙地卡羅方法於金融工程之應用 (Applications of Monte Carlo Methods on Financial Engineering),
Fall 2012
It is, in fact, the coupling of the subtleties of the human brain with rapid and reliable calculations, both arithmetical and logical, by the modern computer that has stimulated the development of experimental mathematics. This development will ebable us to achieve Olympian heights.
~ N. Metropolis (1987).
進度:
Week 1 (Sep. 18) - Introduction to Computational Finance and Monte Carlo Simulation.
Week 2 (Sep. 28) - No Class.
Week 3 (Oct. 5) - (Continue) Introduction to Computational Finance and Monte Carlo Simulation.
Week 4 (Oct. 12) - Importance Sampling. Estimation of joint default probability.
Week 5 (Oct. 19) - Antithetic Variate Method. Control Variate Method.
Week 6 (Oct. 26) - Class starts at 1:30 PM. Martingale Control Variate Method for Pricing Options. （陳靜）
Talk Information
Speaker: Steve Wilcokson (Financial Industry Marketing Manager, MathWorks)
Time: 1:30-2:30 PM, Oct. 25.
Place: Room 206, TSMC BLD.
Week 7 (Nov. 2) - Introduction to parallel Computing: OpenMP, MPI, and GPU. (高魁良)
Week 8 (Nov. 9) - Probability Estimation for Portfolio Default. Entropy based Importance Sampling. (李建武)
Week 9 (Nov. 16) - No Class.
Week 10 (Nov. 23) - HW1 due and discussion. Risk Managment: VaR/CVaR estimations from Percentile method and IS method.
Week 11 (Nov. 30) - Introduction to Numerical Stochastic Differential Equation. HW2 Due.
Week 12 (Dec. 7) - Discussion with Dr. Simon See.
Talk Information
Talk Title: A disruptive technology - from gaming to computational finance.
Speaker: Simon See, Ph.D.
(NVIDIA Chief Solution Architect Director for Solution Architec)
Time: 1:30 - 2:30 PM, December 7, 2012.
Place: Room 206, TSMC BLD, NTHU
Week 13 (Dec. 14) - Presentations. (proposals for 2012 Taiwan CUDA Contest)
Week 14 (Dec. 21) - Presentations. Discussions. Option Pricing by Martingale Control Variate Method.
Week 15 (Dec. 28) - Presentations. Discussions. Default Probability Estimation by Importance Sampling: First Passage Time Model.
Congratulations to student team (Christie Chen 陳靜、 Lichia Yeh 葉力嘉、 I-Chien Lai 賴怡誠、Chien-Liang Kuo 郭建良) elected to the final list of 2012 Taiwan CUDA Contest.
Project: GPU-Based Monte Carlo Calibration to Implied Volatility Surfaces under Multi-Factor Stochastic Volatility Model
Week 16 (January 4) - Discussion.
Talk Information
Talk Title: Systemic Risk vs Credit Risk.
Speaker: Li-Hsien Sun, Ph.D. Candidate
Department of Statistics and Applied Probability, University of California at Santa Barbara, USA.
Time: 3:30 - 5:30 PM.
Place: Room 206, TSMC BLD, NTHU
Week 17 (January 11) - No class.
Week 18 (January 18) - Project Presentation.