École Nationale Supérieure de
Techniques Avancées

Abstract

This document reports my work during my internship with the Quantitative finance team in Mazars Actuariat which is a subsidiary of the group Mazars. My work consists of the blockchain technology and its use in the banking activities in order to contribute to its development. The work includes two main axes : 1. The use of the private blockchains in the financial transaction. 2. Pricing of cryptocurrencies options. The first is the study of the state of the art of the technology of private blockchain with an implementation of a financial contract execution in a blockchain. For the second axis, I worked on the implementation and calibration of the Merton jump model. This report will introduce the model and the work done.