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21 lines
1004 B
Markdown
21 lines
1004 B
Markdown
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Title: Autocallable Bonds
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Date: 2015-11-27
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Category: Blog
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Tags: finance, simulation, monte carlo
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Authors: Bradlee Speice
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Summary: For a final project, my group was tasked with understanding three exotic derivatives: The Athena, Phoenix without memory, and Phoenix with memory autocallable products.
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[//]: <> "Modified:"
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<script type="text/x-mathjax-config">
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MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\(','\)']]}});
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</script>
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<script async src='https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS_CHTML'></script>
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My only non-core class this semester has been in Structure Products. We've been surveying a wide variety of products, and the final project was to pick one to report on.
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Because these are all very similar, we decided to demonstrate all 3 products at once.
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What follows below is a notebook demonstrating the usage of [Julia](http://julialang.com) for Monte-Carlo simulation of some exotic products.
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{% notebook 2015-11-27-autocallable.ipynb language[julia] %}
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