Ensimag Rubrique Formation 2022

Modelisation and Programmation Project - 5MMPMP

  • ECTS

    ECTS 2.0

Goal(s)

Designing and Implementing a Monte Carlo pricer in C++

Contact Jérôme LELONG

Content(s)

The goal is to design and implement an option pricer for multi-asset products in the Black Scholes models. This project is a first approach to the implementation of Monte Carlo algorithms.



Prerequisites

none

Test



N1=Projet
Pas de rattrapage possible.

Additional Information

Curriculum->For Financial Engineering->Semester 5