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FiniteDifference_Pricing

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Pricing derivatives using the explicit finite-difference method

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FiniteDifference_Pricing
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Implement the explicit [finite-difference method](https://en.wikipedia.org/wiki/Finite_difference_method) to price derivatives, that almost always are described as differential equations of diffusion or parabolic type. The Finite-difference methods are precisely designed for finding numerical solutions of differential equations. This assignment was done as part of the Master in [Quantitative Finance ](http://eesp.fgv.br/en/ensino/mestrado-profissional/economia/area-financas-quantitativas/presentation) course, at the FGV University. You can check my report <a href="https://nbviewer.jupyter.org/github/ucaiado/FiniteDifference_Pricing/blob/master/UiraCaiadoEx02.ipynb" target="_blank">here</a> (the text is in Portuguese). I will use mostly Python to code the project.

### Install
This project requires **Python 2.7** and the following Python libraries installed:

- [Matplotlib](http://matplotlib.org/)
- [NumPy](http://www.numpy.org/)
- [Pandas](http://pandas.pydata.org)
- [Seaborn](https://web.stanford.edu/~mwaskom/software/seaborn/)

### Reference
1. P. Wilmott.  *Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition)*. Wiley, 2006. [*link*](https://books.google.com.br/books/about/Paul_Wilmott_on_Quantitative_Finance.html?id=zdLDAQAAQBAJ&redir_esc=y&hl=en)

### License
The contents of this repository are covered under the [MIT License](LICENSE).

FiniteDifference_Pricing

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