Premia is a software designed for option pricing, hedging and financial model calibration. It is provided with it’s C/C++ source code and an extensive scientific documentation. Efficient computations of prices and hedges for derivative products are major issues for financial institutions. The development of increasingly complex financial products requires the use of advanced stochastic and numerical analysis techniques. A consortiumof banks have been using Premia since it’s beginning in 1999 and have brought important contributions to the project. Premia is developed by the Math-Riskteam which gathers research scientists from INRIA(the French national institute for research in computer science and control), Ecole des Ponts ParisTech(CERMICS laboratory on applied mathematics and computing), and the University of Marne la Vallée. Major features of Premia : Pricing of Interest Rate Derivatives; Pricing of Credit Risk Derivatives; Pricing and Hedging of Equity Derivatives in Black-Scholes and Heston models; Pricing and Hedging of Equity Derivatives in Jump models; Calibration in Jump models

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References in zbMATH (referenced in 1 article )

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  1. Pironneau, O.; Hecht, F.: Mesh adaption for the Black and Scholes equations (2000)