camilier at stanford dot edu
Office hours: Monday Wednesday 3:45 pm-5:15 pm in room 383FF.
Ka Wai Tsang (ktsang at stanford dot edu).
Office hours: Tuesday 12-1pm and 2-3pm, Room 207, Sequoia building.
Starting Week 2.
Meeting times: Monday Wednesday 2:15 pm-3:30 pm
Other books (OPTIONAL):
Assignments: 4 homework assignments (30%), due Wednesdays (turn in your HW in class, or submit a pdf version using the Coursework dropbox).
Project: 25%. Group presentations in class week 9-10.
Final exam: 45% Take home exam, due Tuesday June 11, 7 pm.
Submit a paper version of your assignments or use the dropbox on Coursework.
This course discusses numerical methods for pricing financial derivatives. The emphasis will be on actual implementations and simulations. Monte- Carlo methods, variance reduction, discretization schemes. Finite difference, tree, and transform methods in finance.
|Monday April 1||Introduction. Monte Carlo Methods|
|Wednesday April 3||Monte Carlo Methods. Error analysis.|
|Monday April 8||Generating random variables|
|Wednesday April 10||Generating stochastic processes (Brownian motion, Geometric Brownian motion, Ornstein-Uhlenbeck,...) Examples: short rate models.|
|Monday April 15||Numerical solutions of stochastic differential equations|
|Wednesday April 17||Numerical solutions of stochastic differential equations (Euler's Scheme, Milstein's scheme...)||HW1 due|
|Monday April 22||Variance reduction techniques|
|Wednesday April 24||Variance reduction techniques|
|Monday April 29||Variance reduction techniques|
|Wednesday May 1||Variance reduction techniques||HW2 due|
|Monday May 6||Computing the Greeks (finite differences)|
|Wednesday May 8||Computing the Greeks (advanced methods)|
|Monday May 13||Discrete time methods (European and American options). Binomial, trinomial trees|
|Wednesday May 15||Discrete time methods.||HW3 due|
|Monday May 20||Numerical methods for PDEs (discretizing the Black-Scholes PDE)|
|Wednesday May 22||Numerical methods for PDEs (discretizing the Black-Scholes PDE)|
|Monday May 27||No classes|
|Wednesday May 29||Additional topics (rare events)||HW4 due|
|Monday June 3||Presentations|
|Wednesday June 5||Presentations|
|Tuesday, June 11||Final exam (Take home) due, 7pm.|