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: Log contract.
e apply the formula (
Static replication formula
) to replication of the contract that pays
at time
. We set
and calculate
Notation.
Index.
Contents.
Copyright 2007