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Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Services
Author
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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.
A. Affine equation approach to integration of Heston equations.
B. PDE approach to integration of Heston equations.
6. Displaced Heston equations.
7. Stochastic volatility.
8. Markovian projection.
9. Hamilton-Jacobi Equations.
IV. Data Analysis.
V. Implementation tools.
VI. Basic Math II.
VII. Implementation tools II.
VIII. Bibliography
Notation. Index. Contents.

Heston equations.


e consider the process MATH given by the equations

MATH (Heston equations)
where the MATH are constants and MATH are increments of the independent standard Brownian motions. We want to calculate the distribution of $X_{T}$ for some time $T$ .




A. Affine equation approach to integration of Heston equations.
B. PDE approach to integration of Heston equations.

Notation. Index. Contents.


















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