Computational Finance -COMP7926 - Winter 2018

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Handout Index

Handout 1 : Course Outline, Date: Jan.03, 2018
PDF

Handout 2 : Books, Date: Jan.8, 2018
PDF

Handout 3: Coverage, Date: Jan.8, 2018
PDF

Handout 4 : Beta Vs Volatility Date: Jan.15, 2018
PDF

Handout 5 : Risks and Rewards, Date: Jan.15, 2018
PDF

Handout 6 : List of Project Areas, Date: Jan.18, 2018
PDF

Handout 7 : HPC in Finance Date:Jan.19, 2018
This is a paper from Parallel Computing Dec. 1999 issue : High Performance Computing in Finance ... ; Also refer to the special issues in Journals (i) Elsevier Parallel Computing Vol.36 No.7, 2010; (ii) Wiley Concurrency and Computation - Parctice and Experience Vol.26, No.9, 2014; (iii) Elsevier Parallel Computing Vol.26, 2000.

Handout 8 : Date:
This is an interesting article from Santa-Fe Institute: Physicists try to ...  

Handout 9 : Date:
This documemt summarizes lectures on BSM model Technical Note (07) PDF

Handout 10 : Date:
This is a Newspaper article on the people behind Black-Scholes Model and crash of their LTCM (New York Times; Nov.14, 1998 ) distributed in the class.

Handout 11: Date:
This is the transcript of the " Trillion Dollar Bet" we watched in the class today.
Trillion Dollar Bet PDF

Handout 12: Date:
Read Chapters 2 and 3 (for binomial lattice approach) from this document Technical Memo (25) .
This will be discussed elaborately in class.

Handout 13: Date:
This is on Probability Density Function
Probability ... PDF
to be discussed in one of the following classes.

Handout 14a : Date:Jan.25,18
This is a general guideline for presenting a paper in class
Presentation guidelines

Handout 14b : Date:Jan.25,18
This is a general guideline for critiquing a speaker in class
Critiquing guidelines

Handout 14c : Date:Feb.20,18
This is a general guideline for reviewing a paper you selected.
Reviewing guidelines

Handout 15: Date:
This is the original paper by Fisher Black and Myron Scholes: "The Pricing of Options and Corporate Liabilities", Journal of Political Economy, Vol.81, Jan.-June, 1973, pp.637-654.

Handout 16: Date:
This is the original paper by John C. Cox, Stephen A. Ross, Mark Rubinstein: "Option Pricing: A Simplified Approach" , Journal of Financial Economics, Vol.7, 1979, pp.229-263, distributed in the class.

Handout 17a: Date:
Project Proposal Template

Handout 17b: Date:Feb08, 2018
Final Project Report Template

Handout 18: Date: Feb.08, 2018
Monte Carlo for Options - Original Paper

Handout 19: Date: Feb.20, 2018
Model Mid Term Exam

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