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Slides (in PDF format)
Introduction to Octave.
Binomial model.
Greeks.
Random number generators.
Monte Carlo simulation.
Numerical schemes for SDEs.
Black-Scholes PDE.
Numerical methods for PDEs.
Numerical methods for exotic options.
Numerical methods for American options.
Courseworks (in PDF format)
Coursework 1.
Coursework 2.
Coursework 3.
Coursework 4.
Coursework 5.
Coursework 6.
Coursework 7.
Coursework 8.
Coursework 9.
© Andrzej Palczewski