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MH4518_GROUP13

Final Code Files for simulations:

  • Simuate Interest Rates:
    • everything under "interest rate model"
  • Generate Random Variables: "/random_variable/generate_rv.ipynb"
  • Generate Simulations of price paths:
    • For each set of the generated random variables, run "stock_pricing/simulate_given_rv.py
    • (The GBM model is defined in "stock_pricing/multi_asset_GBM.py")
  • For product pricing:
    • For each set of simulated price paths, run "product_structure.py"
  • Simulationg of Greek values: "greeks/greeks_simulation.ipynb"

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