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mh4518-ntu

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caramel2001 / Financial-Derivative-Analysis-and-Simulation

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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
  • Updated Aug 12, 2024
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