Topic: Computational Projects in Stochastic Calculus

Simulating Ornstein-Uhlenbeck Paths with Exact Transitions

Simulating Brownian Paths on a Time Grid

Reducing Option-Pricing Error with Antithetic Variates

Numerically Testing Ito’s Formula for Geometric Brownian Motion

Numerically Testing Ito’s Formula for the Square Function

Measuring Quadratic Variation from Simulated Paths

Estimating Ornstein-Uhlenbeck Parameters from Discrete Data

Estimating a European Call Price by Monte Carlo

Checking Ornstein-Uhlenbeck Fits with Residual Diagnostics