Professor Pirrong's Class Materials Page

Stochastic Calculus and Computational Finance Materials

• Syllabus
• Overheads
• MAT File
• MATLAB Demo File
• Excel File Used in Matlab Demo
• Brownian Motion Simulation
• Girsanov Notes
• Black-Scholes Function Demo File
• Jump Conditions Spreadsheet
• Jump Models
• Longstaff Schwartz
• Longstaff-Schwartz Spreadsheet
• Monte Carlo Greeks
• HALTON.M