Number of hours
- Lectures -
- Projects 24.0
- Tutorials -
- Internship -
- Laboratory works -
- Written tests -
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.
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"
A project and session presence
The course exists in the following branches:
- Curriculum - Financial Engineering - Semester 9