Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
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I.
Basic math.
II.
Pricing and Hedging.
1.
Basics of derivative pricing I.
2.
Change of numeraire.
3.
Basics of derivative pricing II.
A.
Option pricing formula for an economy with stochastic riskless rate.
B.
T-forward measure.
C.
HJM.
4.
Market model.
5.
Currency Exchange.
6.
Credit risk.
7.
Incomplete markets.
III.
Explicit techniques.
IV.
Data Analysis.
V.
Implementation tools.
VI.
Basic Math II.
VII.
Implementation tools II.
VIII.
Bibliography
Notation.
Index.
Contents.
Basics of derivative pricing II.
ome applications of change of numeraire are covered in this chapter. The reference is
[ShreveOnLine]
.
A.
Option pricing formula for an economy with stochastic riskless rate.
B.
T-forward measure.
C.
HJM.
Notation.
Index.
Contents.
Copyright 2007