Serdar SEN

                                                                    Mathematical and Financial Engineer                                                                            Tel: +336 17 95 70 65 | Mail:

Core Projects

During my course at ESILV, I’ve learned and implemented different methods of option pricing using the Black and Scholes formula, the Monte Carlo method, Finite Difference. Furthermore, we’ve worked on various projects about risk management, the yield curve, different volatility models and more. These projects were implemented in C++, C#, Excel, VBA, and Matlab.

Here are the description of my projects :

  • Automated trading platform

    This is a software project that we carried out with a team of five people. It consists in
    the development of a platform for a hedge fund manager that will price, analyze risks and
    calculate all performance's indicators neccessary to optimize his management.
    The development is carried out with Excel/VBA.

  • Financial Modelling with Jump-Diffusion Process

    The goal is to show students how to value a European call or put option when the dynamics of the underlying asset follows a jump-diffusion process. Developments have been performed in C #.

    Download the Modelling with Jump Diffusion Process project and the project brief

  • Model Calibration and Products Valorisation

    The goal of this project is to calibrate the parameters of some pricing models including stochastic volatility models. The calibration is performed due to numerical optimization techniques such as the Simplex of Nelder and Meaud,the Gauss Newton methods or Stochastic optimisation. At the end, we will be able to obtain the volatility smile under CEV (Constant Elasticity of Volatility) and SABR (Stochastic Alpha Beta Rho) models.

    You can compute implied volatility under SABR model here : SABR
    You can also calibrate parametersunder SABR model in this page : SABR Parameter Calibration
    You can price and compute implied volatility under CEV model here : CEV pricing and Implied Volatility

  • Empirical Finance with Matlab

    Project based on the stylized facts in finance (fat tails, asymmetries, ...), volatilities' and correlations' estimators at different frequencies (Risk Metrics Models, GARCH), modelisation of the distributions' tails, estimation and backtesting of Value at Risk, even when portfolio consists of options.

    Click here for more informations.

  • Advanced Fixed Income with Bloomberg

    This course provides the necessary skills and tools required for the understanding of bonds, the swap market, Credit Default Swaps (CDS) and credit derivatives using Bloomberg.
    The projects goal is to make a video on a current topic based on Fixed Income with the help of Bloomberg. My video concern "The Libor and Euribor Scandal".
    This course was given by Daniel Aidan, Head of Structured Products at BRED.

    You can see my video here : The Libor and Euribor Scandal

  • Pricing and Hedging of complex derivatives

    The project goal is to develop, implement and compare pricing methods and corresponding
    hedging strategies for complex derivatives using numerical methods developed in C + + and C#.
    Using the Black-Scholes model and Monte Carlo simulations we have developed pricers for European and Asian options.
    Hedging strategies were developed using some accurate methods as Malliavin calculus, finite differences and tangent process.

    You can simulate greeks of option by this methods Here

    My project concern Delta Hedging of Digital in using Bull Spread approach : Download the project

  • Yield Curve Project

    The objective of this project is to build zero coupon yield curve from available governmental bonds. Different methods are considered, implemented and compared: direct methods, bootstrap method, splines, polynomial (Mc Culloch) or exponential (Vasicek et Fong). The development have been performed in C++ and algorithms adapted from "Numerical Recipes", for example.

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