Numerically pricing securities

Note: This is the class website of a course that is not currently running. Some links may be broken.

Code I’ve written in connection to this class will be posted here. You are free to copy and modify it to suit your purposes.

All code I post will be in Python as a Jupyter Notebook using NumPy (numerical python libraries). To run my code you will have to install these on your computer. The websites above have installation instructions.

You are, of course, free to write code in your preferred language, or even use a spreadsheet. My code is provided here just as an example.

  • Pricing a few fixed maturity options. view download.
  • Pricing up-rebate options using the state process $Y = S$: view download.