CQF Final Project

Avg Bid (CAD)
Project Budget (CAD)
$30 - $250

Project Description:
To complete the project, you must

(a) implement two out of four topics and (b) submit working code (c) together with a well-
written report. Important: if any of these three requirements are not satisfied, the submission will be returned as incomplete.

1. Pricing Interest Rate Derivatives (forward curve data)

2. Pricing Basket Credit Default Swap (sampling by copula)

3. Pricing Hedged Exotic under Uncertain Volatility (finite difference)

4. Portfolio Construction using Black-Litterman Model (matrix form)

More information upon request.

Skills required:
C++ Programming, Java, Visual Basic
Hire gordfreeman
Project posted by:
gordfreeman Canada
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