Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
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I.
Wavelet calculations.
II.
Calculation of approximation spaces in one dimension.
III.
Calculation of approximation spaces in one dimension II.
IV.
One dimensional problems.
V.
Stochastic optimization in one dimension.
VI.
Scalar product in N-dimensions.
1.
Two-sided area of integration, positive a.
A.
Calculation of w1 for positive a.
B.
Calculation of w2 for positive a.
C.
Calculation of w3 for positive a.
2.
Two-sided area of integration, negative a.
3.
Indexing integration domains.
4.
Summary. Calculation of scalar product in N dimensions.
5.
Indexing integration domains II.
6.
Scalar product in N-dimensions. Test case 1.
7.
Scalar product in N-dimensions. Test case 2.
8.
Scalar product in N-dimensions. Test case 3.
9.
Implementation of scalar product in N-dimensions.
VII.
Wavelet transform of payoff function in N-dimensions.
VIII.
Solving N-dimensional PDEs.
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Index.
Contents.
Calculation of w2 for positive a.
e calculate
similarly to the previous section.
where
We have
For any
Then for any
In general, for
,
,
Then
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Index.
Contents.
Copyright 2007