滑铁卢大学的计算金融2014年课堂讲义

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滑铁卢统计精算系在全球享有很高的声誉,他们的教学 CS 676.rar (6.44 MB, 需要: 20 个论坛币)

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2014年滑铁卢统计精算系Peter教授的讲义
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楼主能列个目录或介绍下主要内容吗？谢谢！

Week of Jan 6
Introduction to Options
First lecture January 6
Bankers, Bonuses, and Busts
Random walks on a lattice
Week of Jan 13
Ito’s Lemma
Black-Scholes Eqn
Week of Jan 20
No arbitrage Lattice
Hedging
Assignment 1 out
Week of Jan 27
Monte Carlo methods
Risk Neutral World
Week of Feb 3
Hedging
Assignment 1 in (Feb 3)
Delta, Gamma, VAR
Assignment 2 out
Week of Feb 10
Generating Normal distributions
Correlated random numbers
Week of Feb 17
No Classes
Reading Week
Week of Feb 24
Finite Difference I
Assignment 2 in (Feb 28)
Week of Mar 3
Finite Difference II
Assignment 3 out
Positive Coeffs
Week of Mar 10
Stability
Week of Mar 17
American Options
Linear Complementarity
Penalty Methods
Week of Mar 24
Portfolio Optimization
Assignment 3 in (March 28)
Week of Mar 31
Lattice Methods
Last Lecture April 4
FD Methods in disguise
1

贵了点啊