Computational Finance MA

At some point, formulas no longer help when it comes to evaluating complex options.

The valuation of financial derivatives is not always possible by analytically solving the underlying pricing equations. More complex options in particular require the use of advanced numerical methods. This lecture introduces the valuation of financial options and covers the numerical techniques used by quantitative analysts to price options, value interest rate derivatives and assess risk. Examples of the implementation of the various concepts are given in Matlab code.