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.
a.
Definition of CDFX model.
b.
The martingale normalization (CDFX).
c.
Fourier transform (CDFX).
d.
Calculation of Fourier transform (CDFX).
e.
Calculation of Premium Leg of CDS.
f.
Calculation of the protection leg of the CDS.
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.
Example: CDFX model.
his chapter is based on
[CarrWu2006a]
. The idea of the calculation was previously illustrated on simpler cases in the sections
(Affine equation section
) and (
Heston equation section
).
a.
Definition of CDFX model.
b.
The martingale normalization (CDFX).
c.
Fourier transform (CDFX).
d.
Calculation of Fourier transform (CDFX).
e.
Calculation of Premium Leg of CDS.
f.
Calculation of the protection leg of the CDS.
Notation.
Index.
Contents.
Copyright 2007