Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
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Python Utilities
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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.
V.
Stochastic optimization in one dimension.
1.
Review of variational inequalities in maximization case.
2.
Penalized problem for mean reverting equation.
3.
Impossibility of backward induction.
4.
Stochastic optimization over wavelet basis.
VI.
Scalar product in N-dimensions.
VII.
Wavelet transform of payoff function in N-dimensions.
VIII.
Solving N-dimensional PDEs.
Downloads.
Index.
Contents.
Stochastic optimization in one dimension.
e combine recipes of the chapters (
One dimensional problems
) and (
Variational inequalities
) to perform stochastic optimization.
1.
Review of variational inequalities in maximization case.
2.
Penalized problem for mean reverting equation.
3.
Impossibility of backward induction.
4.
Stochastic optimization over wavelet basis.
Downloads.
Index.
Contents.
Copyright 2007