Emotions are a complex multi-faceted phenomenon. To assess the complexity of emotions from different facets, multi-modal approaches are necessary. However, multi-modal approaches are rarely used for assessing emotions, especially in the context of computer programming. This study adopts a multi-modal approach to understand the changes in students' perception of emotions before and after working on programming problems. Understanding these changes in students' perceptions may enable educators to devise interventions that help students adjust their perceptions and regulate their emotions as per their skills. We conducted a one-on-one programming session and retrospective think-aloud interview with 17 students from an introductory programming course. During the programming session, students filled surveys and performed four programming tasks. While working on these tasks, students' eye gaze, video of face and screen, and electrodermal activity data were also collected using a non-invasive device. The data collection for this study was multi-modal, with a mix of both qualitative and quantitative data collection methods. Data analysis was primarily qualitative, with additional triangulation of qualitative and biometric data for select exemplars. The findings of this study suggest that students experience changes in emotions because of many reasons, for instance, they encountered repeated errors, they set high standards for their performance, or they could not manage time. For some students, negative emotions changed to positive emotions when they solved errors without any external help or achieved more than what they expected going into the task. Moreover, the triangulation of qualitative and biometric data of two participants provides a fine-grained analysis of their emotions and behaviors and confirmed the change in the perception of their emotions while performing the programming tasks.