Project: Evaluation of Structured Products - 5MMPEPS4

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Number of hours
- Lectures : -
- Tutorials : 24.0
- Laboratory works : -
- Projects : -
- Internship : -
- Written tests : -
ECTS : 6.0
Officials : Ollivier TARAMASCO

Goals

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

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
N2=E2

Calendar

The course exists in the following branches:

Curriculum - Financial Engineering - Semester 9

see the course schedule for 2020-2021

Additional Information

Course ID : 5MMPEPS4
Course language(s):

The course is attached to the following structures:

Team Probability-Statistics

You can find this course among all other courses.

Bibliography

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

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Date of update January 15, 2017

Version française

Voir la version française de cette page

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 - 5MMPEPS4

Number of hours

Goals

Version française