Number of hours
- Lectures -
- Projects -
- Tutorials 24.0
- Internship -
- Laboratory works -
- Written tests -
ECTS
ECTS 6.0
Goal(s)
Conception and implementation of a management tool for a commercial structured product. This tool must price and hedge the structured producted.
Responsible(s)
Ollivier TARAMASCO
Content(s)
Financial analysis of the structured product,
Software architecture,
Beta version, with the simplest pricing models
Improved Beta version
- more complex pricing Models,
- Calibration of models parameters,
- Robustness of price, hedging
- Financial constraints
...
All mathematics, computer science and finance courses !
Test
practical project (100%)
N1=P
N2=E2
Calendar
The course exists in the following branches:
- Curriculum - Financial Engineering - Semester 9
Additional Information
Course ID : 5MMPEPS4
Course language(s): 
The course is attached to the following structures:
You can find this course among all other courses.
Bibliography
C. Sengupta "Financial modeling using C++", Wiley Finance
U. Cherubini, G. Della Lunga "Structerd Finance", Wiley Finance