Introduction to Computational Finance

This page contains notes, links and exercises for the computational finance course

Course materials: Lectures

For detailed examples and solutions from the lab sessions please look at my blog:

or the step by step guides to coding here:

Here is a code that uses monte-carlo integration to estimate Pi. It outputs data to a file called 'excell_data.csv', which you can find here. Your results will be different every time the program is run.
I have also attached three graphs which show the value against paths, the standard errors, and the relative errors.
Note that relative errors give the best indication of how good the approximation is. It is important to state the error measure that you are using. The graphs do not give absolute errors as defined, just standard errors.
Example codes for timed computations. (unix/windows)

Wilmott, P., Howison, S., Dewynne, J., 1995: The Mathematics of Financial Derivatives, Cambridge U.P. ISBN: 0521497892
Wilmott, P., 2001: Paul Wilmott Introduces Quantitative Finance, 2nd Edition, Wiley. ISBN: 0471498629.
Wilmott, P., 2000: Paul Wilmott on Quantitative Finance, Wiley. ISBN: 0471874388
Hull, J. C., 2002: Options, Futures and other Derivatives, 5th edition, Prentice Hall. ISBN: 0130465925.
Higham, D.J. 2004: An introduction to financial option valuation. Cambridge University Press. ISBN: 0521547571 for paperback and ISBN: 0521838843 for hardback.
William H. Press, Brian P. Flannery and Saul A. Teukolsky 1992 Numerical Recipes in C: the art of scientific computing Cambridge University Press. ISBN-10: 0521431085
G. D. Smith, 1986 Numerical Solution of Partial Differential Equations Oxford University Press. ISBN: 0198596502
M. Joshi, 2004 C++ Design Patterns and Derivatives Pricing. Cambridge University Press. ISBN: 0521832357