Oct 15, 2022
Pricing of Financial Instruments
Implemented pricing frameworks for bonds, swaps, and exotic options using deterministic and stochastic models
Developed at Ecole Polytechnique de Tunisie (Tunis, Tunisia). This project implemented a comprehensive framework for pricing financial instruments and constructing yield curves.
Instrument Pricing
Created classes for bonds, zero-coupon bonds, swaps, and FRAs to compute prices, yield to maturity, and spot rates
Yield Curves
Implemented deterministic (Bootstrap) and stochastic (Nelson-Siegel-Svensson, Vasicek) yield curve models
Exotic Options
Priced lookback and basket options using numerical methods such as Monte Carlo simulations and finite differences