# Computational-Finance-Course

**Repository Path**: sinomiko/Computational-Finance-Course

## Basic Information

- **Project Name**: Computational-Finance-Course
- **Description**: Here you will find materials for the course of Computational Finance


- **Primary Language**: Python
- **License**: BSD-3-Clause
- **Default Branch**: main
- **Homepage**: None
- **GVP Project**: No

## Statistics

- **Stars**: 0
- **Forks**: 0
- **Created**: 2024-06-17
- **Last Updated**: 2024-06-17

## Categories & Tags

**Categories**: Uncategorized

**Tags**: None

## README

# Computational-Finance-Course
Here you will find materials for the course of Computational Finance

YouTube lectures you can find at:
https://www.youtube.com/ComputationsInFinance

The course is based on the book: 
"Mathematical Modeling and Computation in Finance: With Exercises and Python and MATLAB Computer Codes", 
by C.W. Oosterlee and L.A. Grzelak, World Scientific Publishing, 2019.

The website of the book is:
https://LechGrzelak.com

Content of the course:

Lecture 1- Introduction and Overview of Asset Classes\
Lecture 2- Stock, Options and Stochastics\
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 Transformation for Option Pricing\
Lecture 9- Monte Carlo Simulation\
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\