Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Services
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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.
8.
Markovian projection.
9.
Hamilton-Jacobi Equations.
A.
Characteristics.
B.
Hamilton equations.
C.
Lagrangian.
D.
Connection between Hamiltonian and Lagrangian.
E.
Lagrangian for heat equation.
IV.
Data Analysis.
V.
Implementation tools.
VI.
Basic Math II.
VII.
Implementation tools II.
VIII.
Bibliography
Notation.
Index.
Contents.
Hamilton equations.
onsider a PDE of the form
Using the characteristics technique of the previous section with
we find
and
at
. The equation for
is a consequence of the other two equations.
Notation.
Index.
Contents.
Copyright 2007