Computational Finance Course- Lecture 3/14

Dear all,
Today I would like to share Lecture no 3 (out of 14).
We will move away from the introductory materials and start with some Python programming: we will perform a simulation of Stochastic Processes for stock price movements and option pricing. Enjoy the lecture!

Lecture slides and additional materials you can find in the link in the description of the video.
3.1. Stock Paths and Simulation in Python
3.2. Black-Scholes model
3.3. Hedging with the Black-Scholes model
3.4. Martingales and Option Pricing
3.5. Coding of Martingales in Python
3.6. Risk Neutral Valuation and Feynman-Kac Formula
3.7. Measures and Impact on a Drift
3.8. Solution for Black-Scholes model

—–> Lecture 3- Option Pricing and Simulation in Python
Lecture 4- Implied Volatility
Lecture 5- Jump Processes
Lecture 6- Affine Jump Diffusion Processes
Lecture 7- Stochastic Volatility Models
Lecture 8- Fourier Transform for Option Pricing
Lecture 9- Monte Carlo
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‚Äč