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Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
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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.
5. Heston equations.
6. Displaced Heston equations.
7. Stochastic volatility.
A. Recovering implied distribution.
B. Local volatility.
C. Gyongy's lemma.
D. Static hedging of European claim.
a. Example: European put-call parity.
b. Example: Log contract.
E. Variance swap pricing.
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: European put-call parity.

et MATH . We have MATH We set MATH and calculate according to the ( static replication formula ) MATH If $F>x_{0}\,\ $ then MATH The last equation is the put-call parity for undiscounted claims $C$ and $P$ . If $F<x_{0}$ then we get the trivial equality MATH

Notation. Index. Contents.

Copyright 2007