CQF Final Project

The 4 topics of this project are as follows, two must be completed. 1. Pricing Interest Rate Derivatives under HJM Model 2. Pricing Basket Credit Default Swap by Sampling from Copula 3. Pricing Hedged Exotic under Uncertain Volatility by Finite Difference Method 4. Multivariate Financial Time Series Analysis: Cointegration Arbitrage Notes: • The code must be thoroughly tested and well documented • The printed report must contain a full description of the models used, both mathematical and numerical, together with sample results • The final report will be between 15 and 30 pages (inclusive of both topics), not including the code