Model Implementation

All sessions start with the description of a numerical method to be implemented and are followed by an actual implementation in Matlab by the students. Among the methods that are studied, we can cite: Monte-Carlo simulations, numerical PDE solving, design of binomial trees, and the implementation of Fourier transforms.

Therefore, the students learn how to price various types of options (path-dependent and American) assuming various types of models (diffusive, with jumps, with stochastic volatility,…). When implementing Monte Carlo simulations, a special focus is made on the computation and interpretation of confidence intervals.