Project - 5MMPCPD

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Number of hours
- Lectures : -
- Tutorials : -
- Laboratory works : -
- Projects : 24.0
- Internship : -
- Written tests : -
ECTS : 2.0
Officials : Jerome LELONG

Goals

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.

Content

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.

Prerequisites

cours 2A "Modélisation et programmation" et "Introduction aux Produits Dérivés"

Tests

A project and session presence

N1=Projet
N2=Projet

Calendar

The course exists in the following branches:

Curriculum - Financial Engineering - Semester 9

see the course schedule for 2022-2023

Additional Information

Course ID : 5MMPCPD
Course language(s):

The course is attached to the following structures:

Team Programming and Software

You can find this course among all other courses.

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Date of update September 21, 2022

École nationale supérieure d'informatique et de mathématiques appliquées
681, rue de la passerelle - Domaine universitaire - BP 72
38402 SAINT MARTIN D'HERES

Project - 5MMPCPD

Number of hours

Goals