Experiments
Risk Neutral Valuation
Christian Fries, February 2020.
Some experiments on risk neutral valuation.

Risk Neutral Density (BreedenLitzenberger Theorem).
Random Numbers
Christian Fries, June 2020.
Small experiments related to the generation of normal distributed random numbers.

Quasi and pseudo random number sequences.
BlackScholes Model Hedge Simulation GUI

BlackScholes Model Hedge Simulation
MonteCarlo Simulation, Bermudan Options, and Algorithmic Differentiation
Christian Fries, February 2020, July 2020.
Some experiments on MonteCarlo simulation, Bermudan option valuation in a MonteCarlo simulation and algorithmic differentiation.

MonteCarlo Simulation

Bermudan Option Valuation in a MonteCarlo Simulation of BlackScholes Model

Algorithmic Differentiation and Dependency Injection: Basics with AAD

Algorithmic Differentiation for Forward Sensitivities
Interest Rate Modelling
Christian Fries, February 2021.
Some experiments related to interest rate modelling.

Factor Reduction / Correlated Brownian Motion
