Financial Engineering

André Guerra
October, 2022
[email protected]

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Description:
This repository contains notes and examples relating to financial engineering topics. The plan is to develop the scripts in Python for the moment (maybe other languages in the future). I will include interactive Python notebooks (.ipynb files) that have notes and examples.

Core contents

1. options.ipynb $\rightarrow$ CALL And PUT options, LONG and SHORT positions on each option type.
2. stochastic_models.ipynb $\rightarrow$ Monte Carlo simulations to simulate stock prices
3. black_scholes.ipynb $\rightarrow$ Black-Scholes model for options pricing

Useful references

1. Prof. Dr. Karl Sigman - Financial Engineering from Columbia University notes
2. Prof. Dr. Martin Haugh courses
3. Geometric Brownian Motion Wiki
4. Moment (Mathematics) Wiki
5. Ito's Lemma Wiki
6. GBM SDE video