ME200 (Computational Methods in Financial Mathematics)
Contact
- Name: Domenico Mergoni
- Email: d.mergoni -at- lse.ac.uk
- Work: London School of Economics
Tip
Internet is a great resource. Use it. Some resources I like:
Course content (Official)
- Methods for generating samples from a given probability distribution,
- Monte Carlo estimation,
- Variance reduction techniques,
- The binomial asset pricing model and the concept of no-arbitrage,
- The Black-Scholes option pricing model as a limit of the binomial model,
- Application of Monte Carlo methods to pricing financial derivatives,
- Introduction to programming in Python,
- Introduction to option pricing with multiple periods in financial markets.
Lecture Notes
These are the lecture notes, by Johannes Ruf and Luitgard Veraart. This is the collection of the assignments due for this course.
Solutions
I did not write the following solutions. My role was simply to present them in class. The text of the exercises is in the link above.
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