Scientific Computing II (470010)

The course Scientific Computing II is targeted at MSc Wirtschaftsingenieurwesen students who preferably have already passed Scientifc Computing I.

Students write a term paper. This consists of code with documentation. Possible topics are related to finance and are for example:

• Portfolio Optimization
• Derivatives Pricing
• Performance Analysis
• Market Microstructure models
• Monte Carlo Simulation

There is no requirement regarding the programming language. An implementation using R and documentation in R Markdown is recommended.

For further questions, please contact Mr. Lauter.