Project: Evaluation of Structured Products - 5MMPEPS2

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Number of hours
- Tutorials : 24.0
ECTS : 4.5

Goals

Conception and implementation of a management tool for a commercial structured product. This tool must price and hedge the structured producted.

Contact Ollivier TARAMASCO

Content

Financial analysis of the structured product,
Software architecture,
Beta version, with the simplest pricing models
Improved Beta version

more complex pricing Models,
Calibration of models parameters,
Robustness of price, hedging
Financial constraints
...

Prerequisites

All mathematics, computer science and finance courses !

Tests

practical project (100%)

N1=P
pas de rattrapage

Additional Information

Course list

Curriculum->For Financial Engineering->Semesters 5 et 6

Team->Probability-Statistics

Bibliography

C. Sengupta "Financial modeling using C++", Wiley Finance
U. Cherubini, G. Della Lunga "Structerd Finance", Wiley Finance

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Version française

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

Project: Evaluation of Structured Products - 5MMPEPS2

Number of hours

Goals

Version française