A full derivatives lab on real data: the SPX surface across six expiries (2,565 quotes, forwards from put-call parity, butterfly-constrained SVI, 0.03 vol-pt median cross-check against CBOE), BSM/binomial/Monte-Carlo pricing with convergence, an 85% variance cut from delta-gamma hedging, a 147-trade delta-hedged straddle check at VIX (+24.5% of premium, -$4,000 fifth-percentile tail), and a 6M 95% MASI put at 2.39% of notional.
A 38-year-old household with 300,000 MAD saved and 8,000 MAD a month funds a property down payment, four years of university and retirement from one portfolio. Using real BAM, BVC, gold, USD/MAD and World Bank inflation data, 10,000 monthly paths, and Moroccan tax drag from the CGI, the diversified plan succeeds 63.4% of the time. The bank deposit funds the house and the degree but only 46.5% of retirement, exhausting the portfolio around age 75. Taxes cost 16 points of success; inflation is the largest single risk.
Construire un portefeuille BVC (Akdital, Attijariwafa Bank, STMicroelectronics) en trois commandes, puis le simuler sur 10 000 trajectoires : allocation, percentiles, VaR/CVaR 95 %, drawdown et distribution terminale. Le simulateur reprend le moteur Python de FIN dans le navigateur, avec une graine rejouable.
Type to search across portfolio work, corporate finance, notes and pitch exercises.