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: quanto forward contract.

e are considering a contract that pays $S_{T}^{\U{a3}}$ units of dollar at time $T$ . The dollar value of the contract is MATH On the $\U{a3}$ -market the risk neutral equation for the stock is MATH We change the numeraire MATH Hence, MATH is a MATH -martingale. Indeed, MATH We have MATH

Hence, MATH Without more assumptions we cannot go further. If the volatilities and rates are deterministic then MATH

Notation. Index. Contents.

Copyright 2007