Computational Finance¶
Numerical methods for finance, implemented in MATLAB: from discounting cash flows and building yield curves, to the statistics of returns and portfolio choice, to simulating prices and pricing options.
Every exercise page follows the same structure: the problem, the method with its formulas, the code, the results it produces, and the takeaways. The code is the final version of my own solutions; comments are translated into English, and the results and charts on each page come from running exactly that code.
Next to the MATLAB code, every exercise has a Python translation that follows it line by line, with the same structure and variable names, as study material for learning Python. The Python versions give the same numbers as MATLAB; in the simulations they differ only by the random draws.
Parts¶
| Part | Topics | |
|---|---|---|
| Part I · Foundations and fixed income | portfolios, option payoffs, discounting, duration, amortization, yield curves | 14 pages |
| Part II · Returns, risk and portfolios | empirical distributions, stationarity, efficient frontiers, VaR and CVaR | 12 pages |
| Part III · Simulation and option pricing | Brownian motion, binomial tree, Monte Carlo, Asian options | 6 pages |
| Exams | the two written exams, as submitted, with a review | 2 pages |