The mid term project consists of the extension of a LIBOR market model and its implementation. This part may be performed in groups of up to 3 students. To successfully pass the review of the project a short presentation of a part of the solution has to be performed (parts will be distributed randomly) together with answering a set of project related questions.
It is required that you register for the project review if you like to take part in the final examination! To register, please send an email to email@christian-fries.de.
Note: The implementation part of the project can be solved very elegantly using object oriented implementation techniques requiring only some 20 lines of new code. We encourage you to discuss your ideas during the solution in order to improve you solution.
For further details, please contact us.
We will provide some hints during the preparation time.