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Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Services
Author
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I. Basic math.
1. Conditional probability.
2. Normal distribution.
3. Brownian motion.
4. Poisson process.
5. Ito integral.
6. Ito calculus.
7. Change of measure.
A. Definition of change of measure.
B. Most common application of change of measure.
C. Transformation of SDE under change of measure.
8. Girsanov's theorem.
9. Forward Kolmogorov's equation.
10. Backward Kolmogorov's equation.
11. Optimal control, Bellman equation, Dynamic programming.
II. Pricing and Hedging.
III. Explicit techniques.
IV. Data Analysis.
V. Implementation tools.
VI. Basic Math II.
VII. Implementation tools II.
VIII. Bibliography
Notation. Index. Contents.

Change of measure.


escription of the world may be equipped with more then one probability measure. The standard Brownian motion may gain a drift after switching to a different probabilistic setup. By changing probability we control the SDE representation of a given Ito process.

The choice of probability measure is dictated by trading strategy.

The reference for this section is [Mercurio] .




A. Definition of change of measure.
B. Most common application of change of measure.
C. Transformation of SDE under change of measure.

Notation. Index. Contents.


















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