Pricing d'un call avec le modèle binomial
Quantitative Operations Associate Interview Questions
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EDS de Heston et interprétation des paramètres
What is a barrier option?
Linear algebra, differential equations, simple coding
Ito's Lemma and quadratic variation.
Very basic Python questions. I was also asked why I want to join M&G, etc.
Le prix spot du gaz est S₀ = 35 €/MWh. Le taux sans risque est r = 4% (capitalisation continue). Le gaz procure un convenience yield de y = 1,5% (continu). Le coût de stockage pour 1 an est U = 1,20 €/MWh, payé aujourd’hui. Calcule le prix forward théorique à 1 an.
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