Computational finance

This repository was made for the course Computational Finanace at the University of Amsterdam. The first part of the course gave us an introduction in computational finance, explained the binomial model, Ito calculus and the Black-Scholes equation. We also learned how to delta hedge with this methods. The second part of the course learned us how to do Monte Carlo approximations for option evalutations and use these approximations for more exotic options like the Asian option. For this method we also learned how to delta hedge and also do a delta hedge for the more exotic digital option with the pathwise method and the likelihood ratio method. In the last part of the course we used PDE's for option evalution with different schemes like the FTCS (forward in time central in space), the explicit FTCS and the Crank-Nicolson. In the last part we also learned about the COS method. I did the the assignments with my fellow student Nadav and Chaitanya. We received a 9.4 for the first exercise, a 10 for the second exercise and a 8.8 for the last assignment. I have added the reports for the three assignments and the orginal assignments.