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.
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.
One dimensional problems.
e follow the generic recipe "Solve simple problem first".
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.
8.
Solving one dimensional mean reverting equation.
Downloads.
Index.
Contents.
Copyright 2007