Number of hours
- Tutorials 24.0
ECTS
ECTS 4.5
Goal(s)
Conception and implementation of a management tool for a commercial structured product. This tool must price and hedge the structured producted.
Contact Ollivier TARAMASCOContent(s)
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 !
Test
practical project (100%)
N1=P
pas de rattrapage
Additional Information
Curriculum->For Financial Engineering->Semesters 5 et 6
Bibliography
C. Sengupta "Financial modeling using C++", Wiley Finance
U. Cherubini, G. Della Lunga "Structerd Finance", Wiley Finance