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SAMPLE |
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[SWAP++] |
Instructor: Kishor
Laud
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This project covered
a broad range of tools for financial products such as yield curves, swaps
and convertible bonds. Source code is available in C++ and Java. The
applications include
- Computing yield curve and Cash Flows
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Pricing interest-rate swaps and amortizing interest rate swaps
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Pricing Treasury Bonds - Building stock underlings and binomial Tree for
the evolution of the stock price
- Pricing convertible bonds - Performance study
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| pdf | c++
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[SURVIVOR] |
Instructor: Lee Maclin
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This project studied the hypothesis of
survivorship in financial market and provided a simulation using genetic
algorithm to find the optimum strategy. Source code is available in
Perl.
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SmartGroup
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[RISK] |
Instructor: Steven
Allen
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Using Monte-Carlo simulation,
this project tested the impact of different possible trading limits on the
size of position that can be built up for market-makers. The Source Code
is written in C++
pdf | c++ | exe
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[Stochastic
Volatilty] |
Instructor: Jim Gatheral
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[HJM] |
Instructor: Peter Fraenkel
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[Automatic
Market-Making] |
Advisor:
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[Convertibles] |
Advisor:
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