Number of hours
- Lectures -
- Projects 24.0
- Tutorials -
- Internship -
- Laboratory works -
- Written tests -
ECTS
ECTS 2.0
Goal(s)
Design and Implementation of a Monte Carlo pricer in C++
You will analyse the mathematical description of the problem to propose an architecture for your software. You will pay a special attention to the design of tests.
Responsible(s)
Jerome LELONG
Content(s)
The goal is to design and implement an option pricer for multi-asset products in the Black Scholes model. This project is a first approach to the implementation of Monte Carlo algorithms. This project is used in several other courses.
Prerequisitescours 2A "Modélisation et programmation" et "Introduction aux Produits Dérivés"
Test
A project and session presence
N1=Projet
N2=Projet
Calendar
The course exists in the following branches:
- Curriculum - Financial Engineering - Semester 9
Additional Information
Course ID : 5MMPCPD
Course language(s): 
The course is attached to the following structures:
You can find this course among all other courses.