{"repo":"aidinattar/Financial-Mathematics","free":true,"listed":false,"github":"https://github.com/aidinattar/Financial-Mathematics","clone":"git clone https://github.com/aidinattar/Financial-Mathematics.git","description":"Weekly exercises of the course of Stochastic Methods for Finance.","language":"Julia","stars":11,"topics":["binomial-model","black-scholes","call-put-parity","finance","greeks","julia","jupyter-notebook","monte-carlo-simulation","option-pricing","value-at-risk"],"license":"Apache-2.0","category":"trading","readme_excerpt":"Financial-Mathematics Weekly exercises of the Stochastic Methods for Finance course A.Y. 2021/2022. Prof. Martino Grasselli W1.Binomial-Model/ The assignment consists in the task of pricing a call option with a Binomial Recursive Tree Model, for two different underlying assets (GOOG and BNTX), using historical data of prices found on Yahoo Finance, to estimate a call option with maturity 3 months. The results are reported both in Excel and in a Jupyter-Notebook written in Julia 1.7.0. In the excel I used a Binomial Tree with 1 step and one of 30 steps, while in Julia I wrote down a function which allows to estimate the prices for a arbitrary number of steps, which allows to appreciate the convergence for the number of steps that goes to infinite. W2.Call-Put Parity/ The assignment consists in the task of pricing the dividend, first computing the discount rate using a Box-Spread strategy, and then through the pricing of a forward contract, pricing the dividend. The results are reported both in Excel and in a Jupyter-Notebook written in Julia 1.7.0. In the excel I computed the results for 1 month maturity, while in Julia I wrote down a function which allows to estimate the discount rate and the dividend for each maturity. W2.Black-Scholes Binomial/ The assignment consists in the task of prooving the convergence of the Binomial Recursive Tree model expectation for the Call option price to the Black-Scholes formula. The results are reported both in Excel and in a Jupyter-Notebook","default_branch":null,"files":null,"tree":[],"storefront":"/r/aidinattar","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/aidinattar/Financial-Mathematics/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}