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Modules
Fundamental Applications
Option Pricing
Pricing of many exotic options.Copulas and Dependence Measures
The use of copulas and the study of their properties.Portfolio Hedging
Hedging a portfolio with derivatives strategies.Specialized Applications
CDO Pricing
Pricing of CDO tranches with two distinct models.Hedge Funds
Detailed analysis of hedge funds returns.VaR: LDA
The use of loss distribution approach to calculate various VaR.
Applied Research Modules for Practitioners
Transfer Tools
Finance modules have been developed by our team to meet the needs of our partners. This software applies in a practical and efficient way the research that is done here at CIRANO. These tools are user-friendly, and no additional software is required on the user’s side. Accordingly, installation is quick and inexpensive.Thanks to their trial version, it’s now possible to try online each of our six modules. For each of them, an animated demonstration, an evaluation of the thematic studied as well as information on the scientific aspects are also available.
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| M. Boyer HEC Montréal |
The designer of the module, Martin Boyer, emphasizes that " with this software, the user is well-equipped to study the pricing issues under many perspectives."
Under development
Project Assessment
This module illustrates real options theory through project assessment.
GARCH Models for Option Pricing
This module calculates option prices when the underlying asset follows a GARCH process.
Copulas in Finance
The benefits of copulas use are illustrated in this module. Hedging and derivatives pricing are of particular interest for financial practitioners.
Contacts
Laurence Allaire Jean
(514) 985-4000 #3033
allairel@cirano.qc.ca