finMath.net

Experiments

Risk Neutral Valuation

Christian Fries, February 2020.

Some experiments on risk neutral valuation.

  1. Risk Neutral Density (Breeden-Litzenberger Theorem).

Monte-Carlo Simulation and Algorithmic Differentiation

Christian Fries, February 2020.

Some experiments on Monte-Carlo simulation and algorithmic differentiation.

  1. Monte-Carlo Simulation
  2. Algorithmic Differentiation and Dependency Injection: Basics with AAD
  3. Algorithmic Differentiation for Forward Sensitivities