How to build an asset pricing library in Python? How is it done in an investment bank like Citi?

This course is delivered by Citibank under the general RiskLab Lecture Series umbrella.

The aim of the course is to create a financial pricing library that can be used for pricing various financial products (forwards, bonds, European, American, and other exotic options). We utilize various numerical methods for pricing: analytic formulas, Monte Carlo, and finite element methods. We compare the numerical methods and delve into their optimization possibilities. While developing the pricing library, the goal is to maintain a functional and easily readable codebase, for which we plan and implement class structures/inheritance, typed variables. We also implement tests for the pricing codebase and for testing various pricing methods.

Hungarian title: Bevezetés pénzügyi árazó könyvtár építésébe - gyakorlat

Neptun code: bevparku0sm23gm

Next course: Feb 2025