Quantitative Finance Lab

Financial Engineering

Derivative Pricing, Term Structures & HF Risk. Master the theory and implementation of financial engineering.

What you'll master

Implement Black-Scholes and Monte Carlo pricing engines from first principles

Master the implementation of "The Greeks" and their sensitivities

Understand American option pricing using the Longstaff-Schwartz method

Prerequisites

basic programming fluency
comfort with technical self-study
willingness to complete implementation labs

Deep Dive

Derivative Pricing & Hedging - Implement Black-Scholes and Monte Carlo pricing engines from first principles Term Structure & Volatility Modeling - Implement Heston and SABR models for volatility surfaces High-Frequency Risk & Portfolio Alpha - Master modern portfolio theory (MPT) and the Black-Litterman model

Final Deliverable

The Risk-Aware Hedge Fund.