This is a software project that we carried out with a team of five people. It consists in
the development of a platform for a hedge fund manager that will price, analyze risks and
calculate all performance's indicators neccessary to optimize his management.
The development is carried out with several programming languages which are C + +, C #, SQl
and we use the FIX protocol. this project will end on January 2013
The goal is to show students how to value a European call or put option when the dynamics
of the underlying asset follows a jump-diffusion process. Developments have been performed in C #.
The goal of this project is to calibrate the parameters of some pricing models including stochastic volatility models.
The calibration is performed due to numerical optimization techniques such as the Simplex of Nelder and Meaud,the Gauss Newton methods or
Stochastic optimisation. At the end, we will be able to obtain the volatility smile. Developments will be done in C # interface and debugging in Excel. Web interfaces are going to be set (optionally). The project is due to December of the current year.
Project based on the stylized facts in finance (fat tails, asymmetries, ...),
volatilities' and correlations' estimators at different frequencies (Risk Metrics Models, GARCH),
modelisation of the distributions' tails, estimation and backtesting of Value at Risk, even
when portfolio consists of options (Basel II), all of this using open source software R-project.
The basic principle of interval arithmetic is to replace any number by an interval containing it and to
perform calculations on intervals, each interval containing the exact result of calculation
The aim was to model some objects with C + + under Linux which can quickly find all the roots of a polynomial
with real or complex ones within a given interval.
The project goal is to develop, implement and compare pricing methods and corresponding
hedging strategies for complex derivatives using numerical methods developed in C + + and C#.
Using the Black-Scholes model and Monte Carlo simulations we have developed pricers for European and Asian options.
Hedging strategies were developed using some accurate methods as Malliavin calculus, finite differences and tangent process.
This project is to implement methods and tools related to the mean variance analysis and portfolio optimization.
After preliminary testing some issues like the estimation errors of the returns (mean blur), the covariance matrix,
the CAPM models was implemented. Finally, the main objective of this project was to implement the Black Litterman approach
to mix market equilibrium and the manager views in an optimal way. the VBA language was used for implementation
The objective of this project is to build zero coupon yield curve from available governmental bonds.
Different methods are considered, implemented and compared: direct methods, bootstrap method, splines,
polynomial (Mc Culloch) or exponential (Vasicek et Fong). The development have been performed in C++ and
algorithms adapted from "Numerical Recipes", for example.
Data source: Bloomberg, Européen EuroMTS (ex CNO Etrix)
This project illustrates both evaluation methods in VBA and C of simple derivatives (Future, swaps, options)
and their use in portfolios' risks hedging (fully or partially).
Copyright : Moulong Armel Rodrigue, 2012