This is the simulation project discretization-cir-process at Imperial College London in the MSc in Mathematics and Finance. This project is part of the Numerical Methods in Finance (M5MF02) course and is carried under the supervision of Doctor Blanka Horvath. We based our work on Auélien Alfonsi's work on high order discretization schemes for the CIR process (hal-00143723, 2008).
Our work features:
- Implementation of Aurélien Alfonsi's second order discretization schme for CIR processes (hal-00143723, 2008).
- A calibrated Heston model.
- A presentation with graphs representing our work.
Download the src folder and use C++ or above. We recommend the g++ compiler.
In order to compile and run the project, you can use the following command in the src folder.
make
./run
In case of an issue, run the following command.
make clean
Another cause of issue is the absence of the directory /src/bin. In this case, you can create it manually using the following command.
mkdir bin
The team includes the following members, with the associated GitHub identifiers.
| Name | GitHub id |
|---|---|
| Thomas Espel | tjespel |
| Kees Groeneweg | kegror |
| Luis Pavon | luispavon22 |
| Mehdi Tomas | mehditomas |
Apache 2
