Sunday, July 23, 2006

week 18...the toughest one!!

Week 18 was one of the toughest. We had Computational finance project report and presentation due. The project involved barrier option pricing using MC methods. The project involved developing pricing engines, which my team did by protyping in MATLAB and then developing the engine in C++. We were glad we did the prototyping - it really came through for us to understand the option by parametric studies.

As soon as we got done with this, we had to jump on for another big project due on Tuesday. Derivatives pricing using implied binomial trees....


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