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Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
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I. Basic math.
1. Conditional probability.
2. Normal distribution.
3. Brownian motion.
4. Poisson process.
5. Ito integral.
6. Ito calculus.
A. Example: exponential of stochastic process.
B. Example: integral of t_dW.
C. Example: integral of W_dW.
D. Example: integral of W_dt.
7. Change of measure.
8. Girsanov's theorem.
9. Forward Kolmogorov's equation.
10. Backward Kolmogorov's equation.
11. Optimal control, Bellman equation, Dynamic programming.
II. Pricing and Hedging.
III. Explicit techniques.
IV. Data Analysis.
V. Implementation tools.
VI. Basic Math II.
VII. Implementation tools II.
VIII. Bibliography
Notation. Index. Contents.

Example: integral of W_dW.

ur goal is to calculate the integral MATH . According to the Ito formula ( Ito_formula ) MATH Hence, MATH

Notation. Index. Contents.

Copyright 2007