This project includes several sub-projects on derivatives pricing, numerical finance, and computational methods:
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Finite Difference Schemes - Barrier Option Pricing
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Monte Carlo Simulations - FX & Interest-rate Derivatives
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Option Lattices - JRR, Jarrow-Rudd, & Tian
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Variance Reduction Techniques - Control variates & Importance sampling
Each subdirectory includes the following:
- README.pdf
- results.pdf (for summary output)
- source code