Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Services
Author
I.
Wavelet calculations.
II.
Calculation of approximation spaces in one dimension.
III.
Calculation of approximation spaces in one dimension II.
IV.
One dimensional problems.
1.
Decomposition of payoff function in one dimension. Adaptive multiscaled approximation.
2.
Constructing wavelet basis with Dirichlet boundary conditions.
3.
Accelerated calculation of Gram matrix.
4.
Adapting wavelet basis to arbitrary interval.
5.
Solving one dimensional elliptic PDEs.
6.
Discontinuous Galerkin technique II.
7.
Solving one dimensional Black PDE.
A.
Example Black equation parameters.
B.
Reduction to system of linear algebraic equations for Black PDE.
C.
Adaptive time step for Black PDE.
D.
Localization.
E.
Reduction to system of linear algebraic equations for q=1.
F.
Preconditioner for Black equation in case q=1.
G.
Summary for Black equation in case q=1.
H.
Implementation of Black equation solution.
8.
Solving one dimensional mean reverting equation.
V.
Stochastic optimization in one dimension.
VI.
Scalar product in N-dimensions.
VII.
Wavelet transform of payoff function in N-dimensions.
VIII.
Solving N-dimensional PDEs.
Downloads.
Index.
Contents.
Example Black equation parameters.
e consider the following example values for the Black equation parameters.
The parameters
are obtained from derivations of the section (
Localization
).
Downloads.
Index.
Contents.
Copyright 2007