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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.
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.
A. Ricatti equation.
B. Evaluation of option price.
C. Laplace transform.
D. Example: CDFX model.
5. Heston equations.
6. Displaced Heston equations.
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.

Evaluation of option price.


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This brings us to the subject of Laplace transform.





Notation. Index. Contents.


















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