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Modelling tools

This page provides you with modelling tools in banking and finance.

Behavioral finance

Pricers: pricing and hedging of derivatives products

Equities :  Standard call / put  -  Barrier  -  Lookback

Foreign exchange rates :  Standard call / put  -  Barrier  -  Lookback

Interest rates :  Curve  -  Swaps  -  Cap / Floor  -  Collar


Risk management

Estimation of the extreme value distribution

Calculation of the value at risk (VaR) and stress value (SV) for a market position

Evaluation of credit risk by Merton model


Wealth management

Loan amortization

Structuration of financial products

Life cycle analysis


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