mirror of
https://github.com/bspeice/speice.io
synced 2024-11-14 22:18:10 -05:00
22 lines
1005 B
Markdown
22 lines
1005 B
Markdown
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](http://julialang.com) for Monte-Carlo simulation of some exotic products.
|
|
|
|
{% notebook 2015-11-27-autocallable.ipynb language[julia] %}
|
|
|
|
<script type="text/x-mathjax-config">
|
|
MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\(','\)']]}});
|
|
</script>
|
|
<script async src='https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS_CHTML'></script>
|
|
|
|
|