Design a library of pricing

Course objectives

  • Understand the different numerical algorithms

  • Master the design of a library of pricing by taking HW as a model

  • Understand the techniques to improve performance and convergence of algorithms

Numerical algorithms

  • PDE

    • Partial Differential Equation
    • Cranck Nickolson
    • Discontinuous payoffs
    • Barrier options
  • Monte-Carlo

    • Random generation
    • Sobol and Brownian bridges
    • Monte-Carlo convergence improvement
    • American options pricing with Monte-Carlo

Case Study: Excel workshop

Object oriented programming and quantitative models

  • General introduction to the object oriented programming
  • Guidelines and practical tips
  • Interest rate curve object conception
  • HW model
  • HW model object conception
  • PDE object conception
  • Monte-Carlo object conception
  • Exotic option pricing

Case Study: Excel workshop

Skander Handous

Skander began his career in 1996 at BNP. He left the BNP Paribas Group in 2007 to found Advanced Derivative Solutions, a software publishing company for risk management of derivatives.

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