Numerical-Methods-in-Finance
当你觉得很厌倦的时候,放下手中的工作去看场表演,打开电视机或者和朋友联络一下,暂时离开那台机器。如果你不停下来,接下来很有可能就会出大问题。所有枯燥和问题累积到一定程度,就会突然爆发出来,于是你就真正的动弹不得了。 ——《禅与摩托车维修艺术》
This file includes the code I've written for the course Numerical Method in finance, Stochastic Calculus in Spring 2020.
Topic related:
-
Binomial Tree:
- Binomial Black-Scholes Method(BBS)
- Binomial Black-Scholes Richardson Extrapolation(BBSR)
- Binomial Average Method(BAM)
-
Finite Difference Methods:
- Explicit,
- Implicit,
- Crank-Nicolson;
-
Monte Carlo Simulation:
- Variance Reduction technique,
- Importance Sampling,
- Contral Variable,
- Antithetic Variable
- Sensitivity Analysis,
- Longstaff and Schwartz(Least Squares Monte Carlo)
- Variance Reduction technique,
And there are 3 complex derivative pricing project, one by Finite Different scheme, one by Longstaff-Schwartz method and one by binomial tree
Pricing Autocallable Contingent Interest Notes Linked to Amazon
Pricing Callable Contingent Coupon Barrier Notes Linked to Bank of America