Learn how to measure the risk of an investment portfolio!

In this course you will simulate the time evolution of prices of financial assets, use the Black-Scholes model to price European or Asian options and compute the Value-at-Risk of a portfolio. The approach is hands-on with a strong emphasis on practical simulations that you will program, run and explore in your own computer.

Chapter 1: Introduction
Chapter 2: Understanding random numbers
Chapter 3: Generating random numbers
Chapter 4: Brownian motion
Chapter 5: Ordinary differential equations
Chapter 6: Stochastic differential equations
Chapter 7: Pricing of simple derivative products
Chapter 8: Pricing of more complex derivative products
Chapter 9: Modeling and quantifying financial risk

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