Ensimag Rubrique Formation 2022

Project - 5MMPCPD

  • 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.

Prerequisites

cours 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
see the course schedule for 2023-2024

Additional Information

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

The course is attached to the following structures:

You can find this course among all other courses.