Codes I wrote for my course projects
##Project ####1. Option Pricing
- various methods for plain vanilla American and European options
- Monte-Carlo and Quasi Monte-Carlo method for Asian options
- Hull-White Algorithm for American Asian options
####2. Variance Reduction methods
- control variate
- importance sampling
####3. Generate Random Variable
- Acceptance-Rejection methods
- inverse transform methods
####4. Numerical Method for solving PDE
- sparse matrix construction and multiplication
- solve Black-Scholes Equation with Euler explicit/implicit and crank nicolson method
- solve American option
####5.Some simple codes
- simulation of stochastic process/Markov Chain
- calculate implied volatility with bi-section method
Shuyue Fu
MSFE candidate at University of Illinois at Urbana-Champaign
My Resume：Shuyue Fu
My Linkedln：Linkedln
My Email：sfu11@illinois.edu