Risk Neutral Valuation

Christian Fries, February 2020.

Some experiments on risk neutral valuation.

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

Random Numbers

Christian Fries, June 2020.

Small experiments related to the generation of normal distributed random numbers.

  1. Quasi and pseudo random number sequences.

Black-Scholes Model Hedge Simulation GUI

  1. Black-Scholes Model Hedge Simulation

Monte-Carlo Simulation, Bermudan Options, and Algorithmic Differentiation

Christian Fries, February 2020, July 2020.

Some experiments on Monte-Carlo simulation, Bermudan option valuation in a Monte-Carlo simulation and algorithmic differentiation.

  1. Monte-Carlo Simulation
  2. Bermudan Option Valuation in a Monte-Carlo Simulation of Black-Scholes Model
  3. Algorithmic Differentiation and Dependency Injection: Basics with AAD
  4. Algorithmic Differentiation for Forward Sensitivities

Interest Rate Modelling

Christian Fries, February 2021.

Some experiments related to interest rate modelling.

  1. Factor Reduction / Correlated Brownian Motion