Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Services
Author
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I.
Basic math.
II.
Pricing and Hedging.
III.
Explicit techniques.
IV.
Data Analysis.
V.
Implementation tools.
1.
Finite differences.
2.
Gauss-Hermite Integration.
3.
Asymptotic expansions.
4.
Monte-Carlo.
A.
Generation of random samples.
B.
Acceleration of convergence.
a.
Antithetic variables.
b.
Control variate.
c.
Importance sampling.
d.
Stratified sampling.
C.
Longstaff-Schwartz technique.
D.
Calculation of sensitivities.
5.
Convex Analysis.
VI.
Basic Math II.
VII.
Implementation tools II.
VIII.
Bibliography
Notation.
Index.
Contents.
Acceleration of convergence.
et
be a random variables and
are random samples from
. The letter
usually denotes size of a sample. The notation
stands for standard deviation,
is mean. The letters
denote real numbers. The letters
usually denote functions of real variable.
a.
Antithetic variables.
b.
Control variate.
c.
Importance sampling.
d.
Stratified sampling.
Notation.
Index.
Contents.
Copyright 2007