This is a homepage of
Lech A. Grzelak
Computational Finance Course
The course aims to improve the student’s knowledge of computational methods in finance. Numerical algorithms and partial differential equations, in particular in the field of modeling asset prices and in option pricing are presented.
Financial Engineering Course (Interest Rates + xVA)
The main focus of this course is the modelling of the interest rates while other asset classes like foreign exchange and inflation are also covered. Ultimately, after completing the course, the student should be able to build a multi-asset portfolio consisting of linear products and perform xVA (CVA, BCVA and FVA) and (H)Value-at-Risk computations.
Questions and Answers
Interview and Exam Questions in area of Computational Finance and Financial Engineering
Book
Mathematical Modeling and Computation in Finance
Research and Publications
Detailed list of publications and research.