This repository contains all my submissions to the assignments completed during study of the course MA473: Computational Finance, taken in Monsoon Semester 2021 at IIT Guwahati.
All the details can be found in the respective folders. Here is a brief introduction to the worked upon problems:
- Lab 1: Solving the parabolic PDEs using Finite Difference Schemes
- Lab 2: Numerical solution to the Black-Scholes PDE for European options by transforming it to 1-D heat conduction parabolic PDE
- Lab 3: Numerical solution to the Black-Scholes PDE for European options without using any transformation
- Lab 4: Numerical solution to the Black-Scholes PDE for European options by transforming it to finite domain
- Lab 5 & 6: Numerical solution to the American options
- Lab 7: Modelling the Asian option for the European arithmetic average strike call
- Lab 8: Solving the Boundary-value problem using Finite Elements Method
- Lab 9: Numerical solution to the Black-Scholes PDE for European options using Finite Elements Method
- Lab 10: Solutions to the Stochastic Differential Equations