Ensimag Rubrique Formation 2022

Hedging financial derivatives with multiple payement dates - 5MMPCMF

  • Number of hours

    • Lectures 1.5
    • Projects -
    • Tutorials -
    • Internship -
    • Laboratory works 27.0
    • Written tests -

    ECTS

    ECTS 3.0

Goal(s)

Designing and implementing a tool to hedge financial derivatives on several underlyings, with several dates of payment. The tool will be decomposed into several libraries communicating with one another and an output interface. An additional difficulty comes from the fact that it will be necessary to transpose a true calendar into a purely mathematical world.

Responsible(s)

Mnacho ECHENIM, Jerome LELONG

Content(s)

The C++ tool developed in this project will be based on the project "hedging financial derivatives" (5MMPCPD). This tool will communicate with another library coded in C#, that will permit to handle the true calendar and process the financial data that is required by the hedging tool.

Prerequisites

Evaluation et hedging of multidimensional derivative products
Monte Carlo methods in finance
'Hedging financial derivatives' project (5MMPCPD)
Object-oriented design and programming in C++

Test

N1: Project assessment
N2: Project assessment

Validation par projet.
N1 = P1
N2 = P2

P2 = version corrigée de P1.

Calendar

The course exists in the following branches:

  • Curriculum - Financial Engineering - Semester 9
see the course schedule for 2023-2024

Additional Information

Course ID : 5MMPCMF
Course language(s): FR

You can find this course among all other courses.

Bibliography

N/A