jieqian2 / numerical-methods-in-finance

This file includes the code I've written for the course Numerical Method in finance, Stochastic Calculus in Spring 2020.

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)

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

Pricing Autocallable Yield Notes