A project to analyze stocks, run simulations based on historical data, price forecasting and optimal portfolio building using Sharpe ratio and genetic algorithm
the related reports can be found at the link https://github.com/W-Mrt/Stochastic-Methods-for-Finance.git Report 1 : Returns, historical volatility, capitalisation factor (simple compounding/ discounting), risk neutral probability.
Report 2 : Equity market quotes, box spread, call-put parity.
Report 3 : VBA binomial model, Black & Scholes, Leisen and Reimer.
Report 4 : VBA greeks, shock volatility, implied volatility smile/skew, B&S with interest rate.
Report 5 : Average and variance of an equibalanced portfolio, parametric single and joint normal VaR, Monte Carlo VaR, historical simulation VaR.
Report 6 : B&S market, Geometric Brownian Motion simulation (VBA or Python), pricer of vanillas (one or multiple steps Euler scheme), Asian options, Lookback options.
##Main Topics
VBA excel, Option, futures and other derivatives pricing, Binomial model, Black & Scholes, Discrete and continuous time, Hedging portfolios, Multi asset markets, Stochastic volatility, Monte Carlo method