Experiments

Risk Neutral Valuation

Some experiments on risk neutral valuation.

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

Random Numbers

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

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

Some experiments related to interest rate modelling.

1. Factor Reduction / Correlated Brownian Motion