Content of present website is being moved to . Registration of will be discontinued on 2020-08-14.
Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Printable PDF file
I. Basic math.
1. Conditional probability.
2. Normal distribution.
3. Brownian motion.
4. Poisson process.
5. Ito integral.
6. Ito calculus.
7. Change of measure.
8. Girsanov's theorem.
9. Forward Kolmogorov's equation.
10. Backward Kolmogorov's equation.
A. Multidimensional backward Kolmogorov's equation.
B. Representation of solution for elliptic PDE using stochastic process.
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.

Multidimensional backward Kolmogorov's equation.


(Multidimensional backward Kolmogorov equation) Suppose the processes MATH are given by the SDEs MATH then the function MATH satisfies the PDE MATH with the final condition MATH

To understand the structure MATH note that MATH

Notation. Index. Contents.

Copyright 2007