American Option pricing with Binomial Tree (Python)
In the following part, I priced a Plain-vanilla American option using binomial tree (CRR tree and JR tree). And also showcase that both...
Prototype IoT Project "Intelligent Greenhouse System"---Client side software design
With the development of Internet and micro electronic technology, the concept of Internet of Tings (IoT) has raised. On the other hand,...
Software Design for "Intelligent Greenhouse System ", codes.
In the following place I am going to post my codes for this software in the order of: #0.AchartEngine plotting program for spectrum line...
Option Pricing with Black-Scholes Model & Monte-Carlo method in C++
The Black–Scholes or Black–Scholes–Merton model is a mathematical model of a financial market containing derivative investment...
Monte Carlo Pricing Method of European Call (Python)
Assuming the underlying stock follows the geometric Brownian process, with some easy Ito calculus, we can actually produce perfect Monte...
Take a look at CIR model// Nelson_Siegel Model calibration
******************************************************************************************** import numpy as np from scipy.stats import...
Optimization Algorithms using Python (Scipy/numpy) (Part II)
In this part, I am going to introduce some basic opimization method via scipy.optimization library. Let us take Rosenbrock fucntion as...
Basic Statistical Analysis and Optimization in Python (Scipy/numpy) (Part I)
In the first part, I am going to talk about some basic statistics usage of Python and in the following part I will try to use various...
Monte-Carlo Simulation of QPSK Communication System in MATLAB #Communication# Signal Processing #
I really did much programming and simulations in R, Python and C++ last semseter. Suddently, I found that I haven't been using MATLAB...
Black-Litterman Portfolio Optimization in C++
Different from the Mean-Variance method I used before, the Black-Litterman method allows investors to optimize their portfolio...
