Numerical Methods
Monte Carlo with variance reduction, finite difference schemes with convergence analysis, PSOR for American options, and Carr-Madan FFT pricing.
4 modules~92 min total
Prerequisites
Linear algebraAnalysis (convergence, Taylor expansion)Basic C++ or Python
Modules
01
Monte Carlo: Antithetic Variates, Control Variates, Quasi-MC
MediumNumerical MethodsMonte CarloVariance ReductionQuasi-Monte Carlo
22 min
02
Finite Difference Schemes and Convergence Analysis
HardNumerical MethodsFinite DifferencesBlack-Scholes PDEConvergence Analysis
25 min
03
PSOR for American Options
HardNumerical MethodsAmerican OptionsPSORLinear ComplementarityFree Boundary
22 min
04
FFT and Carr-Madan Pricing
HardNumerical MethodsFFTCharacteristic FunctionsCarr-MadanFourier Pricing
23 min