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

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