Global Bank – Equity Derivative Quant Team

Global Bank – Equity Derivative Quant Team

About Project

Ensure correctness of various derivative pricing models such as Black Scholes, Local Volatility, Heston, Heston Merton.

Activities done

  • Prepared comprehensive model validation document detailing assumptions made in building the model, various tests conducted in validating the model and most importantly various constraints recommended in using the model.
  • Direct Comparison test for each model with payoff replication method, which aids decomposition Testing of more complex deals
  • Creating prototypes of higher face value models
  • Limiting Cases of Model Parameters
  • Limiting Cases of Product Parameters
  • Smoothness tests for Greeks
  • Verification Tests
  • Calibration Stability Tests
  • Calibration Error Computation