Financial Modeling & Options Pricing System

A comprehensive web-based financial derivatives trading and valuation platform built with C# .NET Core and advanced Monte Carlo simulation techniques.

Project Overview

This project is an option pricing and portfolio management system developed for a Financial Modeling course. It demonstrates advanced quantitative finance concepts through practical implementation.

Core Components:

Monte Carlo Option Pricing Engine

• 6 Option Types: European, Asian, Digital, Lookback, Range, and Barrier options
• Advanced Simulation Techniques:
  • Box-Muller random number generation
  • Antithetic variance reduction
  • Control variates for improved accuracy
  • Multithreading for performance optimization

Comprehensive Risk Management

• Greeks Calculation: Delta, Gamma, Vega, Theta, Rho
• Real-time P&L Analysis
• Portfolio valuation and risk assessment

Professional Trading Interface

• 7-Step Workflow: Units → Exchanges → Markets → Underlyings → Derivatives → Trades → Valuation
• Real-time option pricing with configurable parameters
• Interactive web interface with Bootstrap styling

Robust Data Architecture

• Entity Framework Core with PostgreSQL
• Table-Per-Type inheritance for financial instruments
• Normalized database design for scalability

Tech Skills

• Back-end: C# .NET 6.0, ASP.NET Core Web API
• Database: PostgreSQL with Entity Framework Core
• Front-end: HTML5, CSS3, JavaScript, Bootstrap
• Architecture: RESTful API, MVC pattern

Prerequisites

• .NET 6.0 SDK
• PostgreSQL database
• Modern web browser

Installation

1. Clone the repository

git clone https://github.com/MadisonMLi/financial-modeling.git

2. Configure database connection in appsettings.json

{
  "ConnectionStrings": {
    "DefaultConnection": "host=localhost;Database=postgres;Username=postgres;Password=your_password"
  }
}

3. Run database migrations

dotnet ef database update

4. Start the application

dotnet run

5. Navigate to http://localhost:5000 to access the web interface

How to use it?

Price a European Call Option

1. Navigate to Units → Exchanges → Markets → Underlyings
2. Create the underlying asset and market structure
3. Go to Derivatives and select "European"
4. Set strike price, expiration, and option parameters
5. Create a trade in the Trades section
6. Use Trade Valuation to get Monte Carlo pricing and Greeks

Risk Analysis

• Configure simulation parameters (steps, simulations, variance reduction)
• View real-time Greeks for portfolio risk management
• Analyze P&L and market sensitivities

Configuration

Monte Carlo Parameters

• Number of Simulations: 10,000 (default)
• Time Steps: 100 (default)
• Variance Reduction: Antithetic variates, Control variates
• Multithreading: Enabled for performance

Market Parameters

• Risk-free Rate: Configurable (default: 5%)
• Dividend Yield: Configurable (default: 3%)
• Volatility: Configurable (default: 20%)