I am Christophe Rougeaux and I am an intern (till July 2012) in credit quantitative analysis.
I have a Master's Degree in Financial Engineering and a M.Sc in Mathematics and Actuarial Science.
I am very interested in the various pricing methods for options and risk management models. I thought I would share
of my research. I have used calculations to demonstrate the strenghts and weaknesses of various models.
The content of this website is divided into 7 parts:
- Classical option pricing models: Binomial models, Black & Scholes, shifted lognormal model.
- Monte-Carlo methods: Option pricing and greeks estimation.
- Partial Differential Equation (PDE) approach: Finite Difference (FD) and Radial Basis Function (RBF).
- Volatility models: SABR with calibration,Lognormal model, etc.
- Videos: Using C# in Excel with debug, option pricing methods explanations, etc.
- Forum: sharing ideas, careers, etc.
- About/Contact me: Information about Christophe, testimonials, etc.
You can visit the various navigation tabs to explore these methods in more details.
|
 |