Section: New Software and Platforms

PREMIA

Keywords: Financial products - Computational finance - Option pricing

Scientific Description: The Premia project keeps track of the most recent advances in the field of computational finance in a well-documented way. It focuses on the implementation of numerical analysis techniques for both probabilistic and deterministic numerical methods. An important feature of the platform Premia is the detailed documentation which provides extended references in option pricing.

Premia is thus a powerful tool to assist Research and Development professional teams in their day-to-day duty. It is also a useful support for academics who wish to perform tests on new algorithms or pricing methods without starting from scratch.

Besides being a single entry point for accessible overviews and basic implementations of various numerical methods, the aim of the Premia project is: 1 - to be a powerful testing platform for comparing different numerical methods between each other, 2 - to build a link between professional financial teams and academic researchers, 3 - to provide a useful teaching support for Master and PhD students in mathematical finance.

Functional Description: Premia is a software designed for option pricing, hedging and financial model calibration.

• Participants: Agnes Sulem, Antonino Zanette, Aurélien Alfonsi, Benjamin Jourdain, Jérôme Lelong and Bernard Lapeyre

• Partners: Inria - Ecole des Ponts ParisTech - Université Paris-Est

• Contact: Agnes Sulem

• URL: http://www.premia.fr