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)
python
numpy
gbm
monte-carlo-simulation
simulation-modeling
variance-reduction
implied-volatility
derivatives-pricing
geometric-brownian-motion
cir-model
cox-ingersoll-ross
heston-stochastic-volatility
local-volatility-model
mh4518
simulation-techniques-in-finance
mh4518-ntu
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Updated
Apr 14, 2024 - Jupyter Notebook