Heath Jarrow Morton (HJM) arbitrage simulator

Notre projet est un programme qui permet de calculer le prix d’une option sur un swap de matière première.

Pour créer notre programme, nous nous sommes appuyés sur l’étude réalisée par Karl Larsson. Dans son étude « Approximative valuation of swaption », Karl Larsson présente une méthode pour approximer ce prix de manière précise et rapide. En effet, l’utilisation du modèle Heath Jarrow Morton d’habitude utilisé pour décrire la courbe des taux d’intérêts forward permet une approximation précise du prix des swaptions. Notre programme implémente cette étude dans un fichier Excel. Le programme permet à l’utilisateur de comparer les résultats donnés par la méthode de Karl Larsson à ceux d’une simulation de Monte Carlo. Le but du projet est donc de proposer un outil fiable, précis et rapide pour évaluer le prix de cet instrument financier complexe.

Commentaires

Soumis par Anonymous (non vérifié) le
There is definately a lot to learn about this issue. I <br><br> really like all of the points you have made.<br><br> <br><br> <br><br> Also visit my blog <a href="http://www.teyawang.com/browsebusiness.php?id=652&type=link&url=http://www.sweetasmoiok.com">manicure</a>

Soumis par Anonymous (non vérifié) le
Wonderful blog! I found it while surfing around on Yahoo News.<br><br> <br><br> Do you have any tips on how to get listed in Yahoo News?<br><br> I've been trying for a while but I never seem to get <br><br> there! Thank you<br><br> <br><br> Here is my web site: strategic diet - Natalie - http://gracefulintermi39.soup.io/post/557582552/none -

Soumis par Anonymous (non vérifié) le
Whats up very cool web site!! Man .. Beautiful ..<br><br> Wonderful .. I'll bookmark your website and take the feeds also?<br><br> I'm satisfied to seek out numerous useful information right here within the post, we want develop more strategies on this regard, thanks for <br><br> sharing. . . . . .<br><br> <br><br> Here is my web blog - <a href="http://saundraarnott.bravesites.com/entries/general/Causes-Of-Hammertoes">foot pain arch</a>

Soumis par Anonymous (non vérifié) le
Ridiculous quest there. What happened after? Good luck!<br><br> <br><br> my web-site: height growth - https://bullockenoerkentl.tumblr.com/post/140240325013/treating-leg-length-difference-with-shoe-lifts

Soumis par Anonymous (non vérifié) le
Hello there, You've performed a great job.<br><br> I will certainly digg it and individually recommend to my <br><br> friends. I'm sure they will be benefited from this web <br><br> site.<br><br> <br><br> Feel free to surf to my site: <a href="https://keisharycroft.wordpress.com/category/severs-disease/">foot pain ball</a>

Soumis par Anonymous (non vérifié) le
This is the right web site for anybody who hopes to find out about <br><br> this topic. You understand a whole lot its almost tough to argue with you (not that I really <br><br> will need to?HaHa). You certainly put a brand new spin on a topic <br><br> which has been discussed for many years. Wonderful <br><br> stuff, just excellent!<br><br> <br><br> Look into my website: high heeled sneakers - <a href="http://Didacticbandit409.Jimdo.com/">Susanna</a>,

Soumis par Anonymous (non vérifié) le
I write a leave a response when I appreciate a post on a site or <br><br> I have something to valuable to contribute to the conversation. Usually it's <br><br> a result of the passion communicated in the article I browsed.<br><br> And after this post Ajouter un commentaire | Projets ECE.<br><br> I was actually excited enough to post a thought ;-) I actually <br><br> do have a couple of questions for you if you usually do not mind.<br><br> Is it just me or does it appear like some <br><br> of these remarks appear as if they are coming from brain dead people?<br><br> :-P And, if you are writing at other places, I would like to <br><br> keep up with you. Would you list all of all your community pages like your twitter feed, Facebook page or linkedin profile?<br><br> <br><br> <br><br> Here is my webpage ... height increase - http://jeff1fisher6.jimdo.com/2016/03/01/are-shoe-lifts-the-ideal-solution-to-leg-length-imbalances/

Soumis par Anonymous (non vérifié) le
Wonderful blog! I found it while surfing around on Yahoo News.<br><br> <br><br> Do you have any tips on how to get listed in Yahoo News? I've been trying for a while but I <br><br> never seem to get there! Thank you<br><br> <br><br> my web blog - strategic diet - Natalie - http://gracefulintermi39.soup.io/post/557582552/none -

Soumis par Anonymous (non vérifié) le
Hello, Neat post. There's a problem with your site in internet explorer, could check this?<br><br> <br><br> IE nonetheless is the marketplace chief and a huge component to folks will omit your great <br><br> writing because of this problem.<br><br> <br><br> my page ... <a href="http://earleanrhatigan.bravesites.com/entries/general/Hammer-Toe-Symptoms-And-Treatment">foot pain after surgery</a>

Soumis par Anonymous (non vérifié) le
I write a leave a response when I appreciate a post on a site or I have something to valuable to contribute to the conversation. Usually it's <br><br> a result of the passion communicated in the article I browsed.<br><br> <br><br> And after this post Ajouter un commentaire | Projets ECE.<br><br> <br><br> I was actually excited enough to post a thought ;-) I actually do have a couple <br><br> of questions for you if you usually do not mind.<br><br> Is it just me or does it appear like some of these <br><br> remarks appear as if they are coming from brain dead people?<br><br> :-P And, if you are writing at other places, I would like to keep up with you.<br><br> Would you list all of all your community pages like your twitter feed, Facebook <br><br> page or linkedin profile?<br><br> <br><br> Look into my website; height increase - http://jeff1fisher6.jimdo.com/2016/03/01/are-shoe-lifts-the-ideal-solution-to-leg-length-imbalances/

Soumis par Anonymous (non vérifié) le
Ridiculous quest there. What happened after? Good <br><br> luck!<br><br> <br><br> My blog post :: height growth - https://bullockenoerkentl.tumblr.com/post/140240325013/treating-leg-length-difference-with-shoe-lifts

Ajouter un commentaire

CAPTCHA
Ce test a pour but d'empêcher les spams.
3 + 1 =
Trouvez la solution de ce problème mathématique simple et saisissez le résultat. Par exemple, pour 1 + 3, saisissez 4.