Date of Award

5-2016

Degree Type

Thesis

Degree Name

Master of Science (MS)

Department

Economics and Finance

Committee Chair(s)

Tyler J. Brough

Committee

Tyler J. Brough

Committee

Benjamin Blau

Committee

Ryan Whitby

Abstract

In the world of finance, it’s becoming necessary to obtain computer programming knowledge and experience, a marketable skill that prepares one conduct quantitative analysis. The objective of this thesis is to utilize concepts in finance and computer science together to form a pricing library for financial derivatives, thus, develop a strong skillset in a specific area of financial computational methods. Through implementation of object-oriented programming and specific design patterns in Python, I develop a pricing engine for many types of options, from plain vanilla to unique and complex options, with the focus on the ability to reuse and extend various pieces of code without ruining the interface for the end user. The modules implemented range from analytical Black Scholes models to binomial option trees to help improve computational speed, power, and accuracy. I also utilize a beneficial platform called Github to facilitate the storage and application of the pricing engines and related files. The results of this project will show a dynamic, yet simple, interface for the end-user, and they will show tangible benefits of object oriented programming.

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