Quantitative Finance

This sample shows how some quantitative finance algorithms - based on Black-Scholes-Merton (1973) - can be implemented in Formulative.

The focus lies on the flow of the exposition, and a number of details that might be important in real-world applications are not touched upon.

Monte Carlo simulation

The evolution of a stock index over time is simulated via Monte Carlo techniques, selected results are visualized, and European option values are calculated. Monte Carlo simulation is a cornerstone for numerical option pricing as well as for risk management efforts involving value-at-risk calculations or credit value adjustments.

Note

In order to continue you need to login to your workspace and create a new project using the “Quantitative Finance” sample as template