Numerical Methods for the Market-Based Valuation of Options

This Web site contains all information and all documents for the course "Numerical Methods for the Market-Based Valuation of Options" at the Saarland University, Saarbruecken, during the Summer Term 2013.

Please make sure to visit this page regularly for current announcements and possible date/time/room changes. Thank you.

Oral Exams take place on Monday, 19. August 2013 in Building C3 1, Room 1.01:

Dates of lectures and tutorials:

Topics covered in the course are, among others:


Goals of this Course:

The fi nancial crisis of the years 2008 and 2009 made the valuation of derivative instruments a topic of public interest. During this period it became crystal clear how important valuation in a market-consistent manner is - because "the market is always right". The course introduces theoretical models to value fi nancial derivatives, shows how to implement them numerically (e.g. via Monte Carlo simulation) and illustrates the calibration of financial models to market data. All theoretical models and approaches are implemented in Python (

After having fi nished the course successfully, students should know fundamental financial models, should be able to apply theoretical and numerical valuation approaches and should be able to implement simple financial applications in Python. These skills are nowadays central requirements for quantitatively oriented jobs in, e.g., banks, investment banks and insurance companies, at asset managers and hedge funds as well as in treasury and financial departments of non- financial companies.

The material for the course will be in English. However, if there are only students participating who speak German lectures/tutorials will be held in German.

Option_Pricing (last edited 2013-08-12 07:27:09 by Yves Hilpisch)