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Title: Autocallable Bonds Date: 2015-11-27 Category: Blog Tags: finance, simulation, monte carlo Authors: Bradlee Speice 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. [//]: <> "Modified:"
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. Because these are all very similar, we decided to demonstrate all 3 products at once.
What follows below is a notebook demonstrating the usage of Julia for Monte-Carlo simulation of some exotic products.
{% notebook 2015-11-27-autocallable.ipynb language[julia] %}