Monte Carlo methods

Slides

• lecture 1
• lecture 2
• lecture 3
• lecture 4
• lecture 5
• lecture 6
• lecture 7
• lecture 8

• lecture 9
• lecture 10
• lecture 11
• lecture 12
• lecture 13
• lecture 14
• lecture 15
• lecture 16

Practical Sheets

• Practical Sheet 1
  prac1.m, prac1.py -- model solutions
• Practical Sheet 2
  prac2.m, prac2.py -- model solutions

• Practical Sheet 3
  prac3a.m, prac3a.py -- solutions
  prac3b.m, prac3b.py -- solutions
  prac3c.m, prac3c.py -- solutions
  prac3d.m, prac3d.py -- solutions
• Practical Sheet 4
  prac4a.m, prac4a.py -- solutions
  prac4b.m, prac4b.py -- solutions
  prac4c.m, prac4c.py -- solutions
  sobol_basket_plot.m, sobol_basket_plot.py -- solutions

Problem Sheets

• Problem Sheet 1
  Problem Sheet 1 -- solutions
• Problem Sheet 2
  Problem Sheet 2 -- solutions

• Problem Sheet 3
  Problem Sheet 3 -- solutions
• Problem Sheet 4
• Problem Sheet 4 -- solutions

MATLAB codes

• lec1.m
• lec2.m
• lec3.m
• lec4.m
• lec5.m
• z_d4096_m15_gf1.mat (rank-1 lattice points)
• lec5b.m
• lec5c.m
• lec6a.m
• lec6b.m
• lec7.m

• lec9_strong.m
• lec9_weak.m
• lec10_weak.m
• lec11_strong.m
• lec13.m
• bb.m
• qmc_sobol.m
• sobol_basket.m

• european_call.m
• european_call_test.m
• digital_put.m
• digital_call.m
• digital_call_test.m
• down_and_out_call.m
• down_and_out_call_test.m
• lookback_call.m
• lookback_call_test.m
• heston_call.m
• merton_call.m
• merton_call_test.m

Python codes (Python2/3 using numpy, scipy, matplotlib)

• lec1.py
• lec2.py
• lec3.py
• lec4.py
• z_d4096_m15_gf1.mat (rank-1 lattice points)
• Sobol.zip (unzip in same directory)
• lec5.py
• lec5b.py
• lec5c.py
• lec6a.py
• lec6b.py
• lec7.py

• lec9_strong.py
• lec9_weak.py
• lec10_weak.py
• lec11_strong.py
• lec13.py
• bb.py
• qmc_sobol.py
• sobol_basket.py

• european_call.py
• european_call_test.py
• digital_put.py
• digital_call.py
• digital_call_test.py
• down_and_out_call.py
• down_and_out_call_test.py
• lookback_call.py
• lookback_call_test.py
• merton_call.py
• merton_call_test.py

Module 2: an introduction to Monte Carlo methods

Slides

• lecture 1
• lecture 2

Practical

• instructions
• european_call.m
• digital_put.m
• prac.m (MATLAB model solution)

Other Matlab files (not needed for this practical)

• digital_call.m
• down_and_out_call.m
• heston_call.m
• lookback_call.m
• merton_call.m

Module 4: Monte Carlo path simulation

Slides

• lecture 1

Practical

• instructions
• weak.m
• strong.m
• weak2.m

Module 6: Advanced Monte Carlo methods

Slides

• lecture 1
• lecture 2
• lecture 3
• all 3 lectures in 2x2 format
• lecture 4

MATLAB codes

• qmc_sobol.m
• sobol_basket.m
• bb.m

Past assignments

• 2015 assignment and amer_fd.m, amer_mc.m MATLAB codes
• 2016 assignment and MATLAB solution
• 2017 assignment and MATLAB solution

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