Today we will start with the second half of the Computational Finance Course, therefore I would like to share Lecture no 8 (out of 14).
Today we will discuss the concept of Fourier Transformation and the COS method for option pricing. Python codes and the Lecture slides you can find in the link in the description of the lecture.
Content of today’s lecture is as follows:
8.1. Fourier Transformation
8.2. FFT- Fast Fourier Transformation in Python
8.3. The COS Method and Density Recovery
8.4. Implementation of the COS Method in Python
8.5. European Option Pricing with Characteristic Function
8.6. Pricing Experiments Using COS Method in Python
—–>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