ETH Zürich - D-MATH - SFG (Stochastic Finance Group) - HOME - update on 2017-11-01

Lecture Wahrscheinlichkeitstheorie und Statistik

We provide several commented implementations of important concepts to accompany the lecture. We shall use R for this purpose. Just paste the following code into your most favorite R editor and execute.

Calculation of the price of a European Call contract in a SABR model

Illustration zu Satz 7.1

Bayesianisches Updating in einem Bernoulliexperiment