simulation-techniques-in-finance

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• caramel2001 / Financial-Derivative-Analysis-and-Simulation

  Pricing and Analysis of Financial Derivative by Credit Suisse using Monte Carlo, Geometric Brownian Motion, Heston Model, CIR model, estimating greeks such as delta, gamma etc, Local volatility model incorporated with variance reduction.(For MH4518 Project)

  cir-modelderivatives-pricingheston-stochastic-volatilitymonte-carlo-simulationpythonvariance-reductionlocal-volatility-modelimplied-volatilitygeometric-brownian-motioncox-ingersoll-rossnumpymh4518simulation-techniques-in-financemh4518-ntusimulation-modelinggbm
  Language:Jupyter Notebook 20