I am learning option pricing and derivative markets this year in class. I have had some background on stochastic calculus so it was relatively manageable for me to write vanilla and American option pricing. However, it is not so straightforward when following exotic options such as:
volatility swaps and variance swap
Numerical methods, such as: Implicit/Explicit Finite-Difference method,
I have written the first and second point in C++, but I am not too sure what's the best or recommended way to write these algorithm.
I would really appreciate if someone could recommend a book or readings that contain at least some pesudo code to solve these problems.
Thank you in advance!