The topic of interest is the pricing of an Asian option. Asian options are a form of exotic options unlike the more vanilla European options. The case considered here is a special type of Asian options where the payoff is given by the average price of the underline asset over some predetermined period until expiration time. Other variations of Asian options (outside our scope) are possible and left for the reader’s investigation.

This worksheet looks at VaR calculations for the two cases of single and multiple equity asset. This is the last lab worksheet, other than the extra credit assignment.

In this worksheet we look at different distribution functions, sampling methods, and probability calculations. Next we consider a calculation of a Europen option using Monte Carlo simulation, and compare results to calculation using Black-Scholes.

This worksheet looks at some common trading rules, modeling and forecasting, and some fundamental analysis.

This worksheet looks at simulating, both arithmetics and geometric, Brownian motion for stock prices, pricing options, and calculating Greeks using numerical differentiation.

In this worksheet we look at different variance, covariance, volatility, and causality calculations. We finish with a short mathematical proof

This worksheet has three main taks: analyze the time series of returns, assess for normal distribution, and check for exponential behavior of prices time series.

This worksheet is your warm-up exercises to getting started with some R for finance, based on examples from the book. It is also your getting started with problems solving (no R required) and expressing your methods/answers using proper mathematical symbols and representations.