kalos11 / monte-carlo_financial-sensitivities Goto Github PK

Final project of the EPFL Stochastic Simulation course given by Prof. Fabio Nobile.

This project applied Monte Carlo methods to compute financial sensitivities on different asset classes.

Methods used in the project:

1. Finite Difference method
2. Pathwise derivative method
3. Likelihood ratio method

Financial contracts used in the project:

1. European Call Option
2. Digital Option
3. Asian Option (path-dependant)

One can find the notebook with all the code related to the project and a PDF report describing methods and experiments. One can also find the presentation (pdf slides) used for the project's oral presentation.

The project was done in collaboration with @evandieren during the 2022-2023 academic year at EPFL (École Polytechnique Fédérale de Lausanne).