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.
ssume that we already constructed
such that
see the section (
Affine_equation_section
). We wish to evaluate
Observe that
See the section (
Weak derivative
).
This brings us to the subject of Laplace transform.
Notation.
Index.
Contents.
Copyright 2007