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Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
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I. Basic math.
II. Pricing and Hedging.
III. Explicit techniques.
1. Black-Scholes formula.
2. Change of variables for Kolmogorov equation.
3. Mean reverting equation.
4. Affine SDE.
5. Heston equations.
6. Displaced Heston equations.
A. Analytical tractability of displaced Heston equations.
B. Displaced Heston equations with term structure.
7. Stochastic volatility.
8. Markovian projection.
9. Hamilton-Jacobi Equations.
IV. Data Analysis.
V. Implementation tools.
VI. Basic Math II.
VII. Implementation tools II.
VIII. Bibliography
Notation. Index. Contents.

Analytical tractability of displaced Heston equations.

e are considering the equation MATH introduced in the previous section ( Displaced Heston equations ). Introduce MATH then MATH Hence, $Z_{t}$ is given by the ( Heston equations ) and the analytical tractability follows from considerations of the section ( Heston equation section ).

Notation. Index. Contents.

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