Computer problem sets of the course APM_51052_EP / MAP552 : Stochastic calculus for finance given by Huyen Pham at Ecole Polytechnique.
This repository both contain the problem sheet (some in French) and my solutions as jupyer notebooks.
The three CPS subjects are:
- The Cox-Ross-Rubinstein model and its link with the Black-Scholes model
- Hedging strategy in Black-Scholes model
- Monte-Carlo approximation of the Greeks