642:623 Computational Finance:
Report of Homework 8
Due on Mar 27, 2012 1:00 pm
Tues 6:30PM
Mo Li
Mo Li
642:623 Computational Finance : Report of Homework 8
Explanation
In this assignment, we employ Finite Difference Scheme to implement a pricer written w

Computational Finance - Lecture 2
David Eliezer, based on lectures by Paul M. N. Feehan
Spring 2016
Rutgers University Math 623
Outline
Generation of sample paths of stochastic processes
Our examples show us that, for path-independent payoffs
contingent o

COMPUTATIONAL FINANCE
ASSIGNMENT 1
JOSEPH R. ROSS, JR.
JANUARY 24, 2012
1. Discussion
The purpose of this homework assignment was to determine the price of European Call/Put
Options using several different analytical methods including the closed-form solu

Math 623 Computational Finance - Homework Assignment 4
Murtuza Bengali
Department of Mathematics,Rutgers University,
110 Frelinghuysen Road,Piscataway, NJ 08854
This report delves into explaining the working of a C+ program which prices a Vanilla European

Math 623 - Homework Assignment 6
Shwetabh Singh
Department of Mathematics,Rutgers University,
110 Frelinghuysen Road,Piscataway, NJ 08854
We write a C+ program to calculate the value of European vanilla and double barrier options
on an underlying asset, g

642:623 Computational Finance:
Report of Homework 5
Due on Feb 14, 2012 1:00 pm
Tues 6:30PM
Mo Li
Mo Li
642:623 Computational Finance : Report of Homework 5
Explanation
The task of this assignment is to pricing the Vanilla, Geometric and Arithmetic Asian

642:623 Computational Finance:
Report of Homework 3
Due on Feb 7, 2012 1:00 pm
Tues 6:30PM
Mo Li
Mo Li
642:623 Computational Finance : Report of Homework 3
Explanation
The task of this assignment is to implement the LEcuyer uniform random number generator

MATH623 Computational Finance: Assignment 7
Yilei Rong
March 20, 2012
This assignment was designed to price European-style vanilla call options and up-and-out barrier call
options, using closed-form formulas and with the explicit finite dierence scheme as

642:623 Computational Finance:
Report of Homework 2
Due on January 31, 2012
Tues 6:30PM
Mo Li
Mo Li
642:623 Computational Finance : Report of Homework 2
[Algorithm]
Algorithm
1. Closed-Form formula for up-and-out barrier European option.
Use closed-form f

Computational Finance - Lecture 3
David Eliezer, lecture notes by Paul M. N. Feehan
Lecturer in Mathematics
Rutgers, The State University of New Jersey
and Numerix, LLC
Spring 2016
Rutgers University Mathematics 623
Outline
Sources of bias in Monte-Carlo