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Quantitative Finance Book

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

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By Patrik Liba

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