Computational Finance Course- Lecture 10/14

Dear all,
We have still a few more lectures to finish the course! I hope you are motivated!

Today I would like to share with you Lecture no 10 (out of 14) of the Computational Finance series! We will discuss Monte Carlo simulation of the Heston model. In particular, the “almost exact” simulation scheme will be presented! Enjoy!
Lecture slides and Python codes you can find in the description of the lecture on YouTube.

Content of today’s lecture is as follows:
10.1. Option Pricing with Monte Carlo
10.2. Simulation of the CIR Process
10.3. Exact Simulation of the CIR Model
10.4. Almost Exact Simulation of the Heston Model
10.5. The Heston Model and Simulation in Python

—–>Lecture 10- Monte Carlo Simulation of the Heston Model
Lecture 11- Hedging and Monte Carlo Greeks
Lecture 12- Forward Start Options and Model of Bates
Lecture 13- Exotic Derivatives
Lecture 14- Summary​