Assignment 6 · MATLAB · Financial Engineering course, Politecnico di Milano
Two structured-product case studies: an equity certificate swap priced under a calibrated Normal Inverse Gaussian model, and a 10y Bermudan payer swaption priced on a Hull–White trinomial tree.
- NIG calibration to the EURO STOXX 50 smile with Lewis/FFT pricing.
- Certificate swaps (2y and 3y with double trigger) priced by Monte Carlo; flat-vol Black misprices the upfront by 64 bp (2y) and 114 bp (3y) on EUR 100M.
- Bermudan swaption (10y, non-call 2, strike 5%) on a Hull–White trinomial tree (a = 0.11, σ = 0.008).
- Tree validated against the market ZCB curve and the Jamshidian decomposition; price lies within analytical no-arbitrage bounds.
| Path | Content |
|---|---|
runAssignment6_Group5.m |
Main script |
bootstrap/ |
Discount-curve bootstrap |
ex_1/ |
Case study 1 — NIG calibration and certificate pricing |
ex_2/ |
Case study 2 — Hull–White tree, Bermudan and Jamshidian pricing |
REPORT_Assignment6_Group5.pdf |
Report |
Open the folder in MATLAB (R2023b or later) and run runAssignment6_Group5.m. It adds the sub-folders to the path and executes every exercise in order.
Gabriele Alippi, Elisa Colombo, Simone Colombo, Giacomo Costa
Part of the Financial Engineering course (Prof. R. Baviera) — M.Sc. in Mathematical Engineering, Quantitative Finance, Politecnico di Milano, A.Y. 2025/26.