Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Printable PDF file
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: quanto fixed-for-floating swap.

he contract is a $-denominated regular swap with one correction: the floating rate is the $\U{a3}$ -Libor. Hence, we are interested in evaluation of the quantity MATH Taking a pound point of view does not make it simpler: MATH Hence, we introduce a MATH -martingale MATH and write MATH MATH Assuming that the correlations are deterministic, MATH

Notation. Index. Contents.

Copyright 2007