Related projects
Discover more projects across a range of sectors and discipline — from AI to cleantech to social innovation.
Efficient Calculation of Greeks for Interest Rate Exotics Using the BGM Pricing Model
QUIC Financial Technologies produces software used in the pricing of contracts in financial markets. Such software is based on mathematical models. In turn these models must be calibrated to market data. The sensitivity of the prices given by the models to small changes in the input parameters, that is the derivatives of the prices, are called the ‘Greeks’ because they are usually labeled ‘delta’, ‘gamma’, ‘theta’, etc. Thus, this project will investigate new ways to calculate the Greeks.
Faculty Supervisor:
Student:
Leung Lung Chan
Partner:
QUIC Financial Technologies
Discipline:
Finance
Sector:
Finance, insurance and business
University:
University of Calgary
Program:
Accelerate
Current openings
Find the perfect opportunity to put your academic skills and knowledge into practice!
Find Projects
International
Load More
International
Load More
