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Project Admins:

• zhangliang

The goal of this project is to have a deeper understanding of quantitative finance theory and gain practical experience.

price and calculate greeks for all products

• European, American, Bermudan, Asian,
• Call, Put, Cash-or-Nothing, Asset-or-Nothing,
• Knock-in, Knock-out barrier
• Credit Product: Corpula
• Interest Rate Product

with all frameworks

• Black-Scholes, HJM, Libor Market Model(BGM)

• Short rate:

  • Hull-White
  • Vasicek,
  • Cox-Ingersoll-Ross,
  • Black-Derman-Toy,
  • Black-Karsinski

• Volatility Model:

  • local and stochastic volatility,
  • implied constant volatility,
  • implied volatility surface

• Pricing techniques:

  • Monte Carlo:Simple, Exotic
    Variance Reductions:AntiThetic,moment matching
  • Tree: Binomial, Trinomial, different u and d
  • PDE with FDM: explicit, implicit, crank-nicolson
  • Analytic solution
• with all C++ technologies:
  • design pattern
  • generic programming
  • STL
  • boost
  • numerical library: blas,lapack,GNU Scientific Library
  • multi-threaded: boost thread, MPI, CUDA