Quantitative Finance Book

Welcome to my problem book

Acknowledgement

• Special credit goes to Dr. Fang Fang (TU Delft) for her foundational contributions to computational finance and the COS method in particular. The implementation and analysis of Fourier-based pricing methods in this work builds upon the research of Fang & Oosterlee (2009, 2010) and coursework under Dr. Fang’s guidance.

• Goal of this book is to summarise key topics encountered, analyse them deeper and extend them further.

• Emphasis will be put on developing intuition and decomposing these often tricky topics in simple words.

Project - Characteristic Functions Methods for Option Pricing

• 1. Characteristic Functions Methods Approximating CDF/PDF
• 2. Exact Heston Model Simuations for Characteristic Function Methods
• 3. Rough Volatility Models

Pricing American Options - replicating Longstaff-Schwarz (2001)

• 4. Intuition behind the Longstaff-Schwartz implementation
• 5. Pricing American Options by LSMC Method
• 6. Pricing American Options by Finite Difference
• 7. Pricing American Options by COS method

References