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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.
1. Basics of derivative pricing I.
2. Change of numeraire.
3. Basics of derivative pricing II.
4. Market model.
5. Currency Exchange.
A. Change of numeraire in currency markets.
B. Invariant form of SDE transformation formula.
C. Delta hedging in currency markets.
D. Example: forward contract to purchase foreign stock for domestic currency.
E. Example: forward currency exchange contract.
F. Example: quanto forward contract.
G. Example: quanto caplet.
H. Example: quanto fixed-for-floating swap.
6. Credit risk.
7. Incomplete markets.
III. Explicit techniques.
IV. Data Analysis.
V. Implementation tools.
VI. Basic Math II.
VII. Implementation tools II.
VIII. Bibliography
Notation. Index. Contents.

Example: forward contract to purchase foreign stock for domestic currency.

e are pricing an obligation to purchase a $\U{a3}$ -denominated stock $S_{t}^{\U{a3}}$ for the $-amount $K$ at time $T$ . The cashflow at time $T$ is MATH if we take a view of $-observer. We obtain $K$ dollars at $T$ if we invest MATH dollars into the dollar bond. Hence, we replicate the contract by shorting stock and buying bonds. The value of the contract is MATH The "no tricks" approach would be to say that MATH in agreement with ( Risk_neutral_pricing ) and note that the MATH is a traded asset on $ market. Hence, MATH is a MATH -martingale.

Notation. Index. Contents.

Copyright 2007