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thk-cheng / Pricing-Auto-callable-Reverse-Convertible-with-Memory-Coupon

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The main focus of this repository is to analysis the fair price and the risk of the Auto-callable Reverse Convertible issued by Credit Suisse AG on 24/10/2017

probability partial-differential-equations monte-carlo-simulation quantitative-finance differential-evolution stochastic-differential-equations risk-management hedging derivatives-pricing stochastic-calculus risk-neutral-probability
  • Updated Oct 19, 2020
  • C++

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