Final C++ project for ICM286: Advanced Derivatives Modeling (Taught by Dr Naoufel El Bachir @ UoR, Fall 2018)
It aims to introduce models beyond Black-Scholes to price non-vanilla instruments.
Features include:
- Characterize and compare different methods and frameworks used to price exotic derivatives
- Derive the price, assuming different methods, for a variety of equity and FX, interest rate and credit derivatives