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Computational-Finance


This GitHub repository is based on the Computational Finance 2020 course taught at the University of Amsterdam. The course focuses on option pricing (European/American and Asian options) using various numerical methods such as the binomial tree, the Black-Scholes equation, the Monte Carlo method (including variance reduction) and the partial differential equation. In assignment 1, the binomial tree is analysed and compared to the analytical Black-Scholes equation. In assignment 2, the Monte Carlo method is used to value the options. In addition, the variance reduction technique of control variates is applied. Finally, in assignment 3, the partial differential equation is applied using finite difference methods such as Forward Time Centred in Space and the Crank-Nicolson scheme. In each sub-directory, a report is included containing the necessary background information and the results obtained by the calculation. In addition, in each assignment, a more detailed manual is attached on how to call the different functions. In order to compile the code, Python 3 must be installed.

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