Computational Finance Course

Philip H. Dybvig
Washington University in Saint Louis

Philip H. Dybvig Teaching Page

Also of interest: Tony Sanders at Ohio State tells me that he is putting some fixed income programs in C++ up on his Web page.

Syllabus: MBA version (FIN 549A) --- undergrad version (FIN 400B)

Helpful Technical Tips (including help on homework 0 and advice on selecting a compiler) courtesy of Greg Willard

Homework 0
...related programs: crrtest.cc crr.cc crr.h
...NEW: annotated crr.h and crrtest.cc

Homework 1
...related programs: captest.cc cap.cc cap.h
...NEW: annotated cap.cc

Homework 2
...related programs: futtest.cc fut.cc fut.h
...NEW: annotated fut.h, futtest.cc, and fut.cc

Homework 3
...related programs: simu1test.cc simu1.cc simu1.h
...NEW: annotated simu1.h, simu1test.cc, and simu1.cc

Homework 4
...related programs: simu2test.cc simu2.cc simu2.h
...NEW: annotated simu2.h, simu2test.cc, and simu2.cc

Homework 5
...related programs: bstest.cc bs.cc bs.h gausstest.cc gaussian.cc gaussian.h simu1test.cc simu1.cc simu1.h

Lecture -1: Course Perspectives
...PostScript file size 231K
...Text-only version size 1K
Lecture 0: Review of Binomial Option Pricing and a Simple Binomial Option Pricing Program
...PostScript file size 368K
...Text-only version size 10K
Lecture 1: Pricing Interest Derivatives and a Simple Binomial Interest Option Pricing Program
...PostScript file size 323K
...Text-only version size 8K
Lecture 2: Pricing Commodity Futures Options and a Simple Binomial Futures Option Pricing Program
...PostScript file size 273K
...Text-only version size 7K
Lecture 3: Asset Allocation Simulation and a Brief Introduction to Simulation
...PostScript file size 311K
...Text-only version size 7K
Lecture 4: Stochastic Volatility Option Pricing Model and Simulation Estimation of Option Prices
...PostScript file size 287K
...Text-only version size 8K
Lecture 5: Black-Scholes Hedge Simulation
...PostScript file size 180K
...Text-only version 4K