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.
1.
Basics of derivative pricing I.
2.
Change of numeraire.
A.
Definition of change of numeraire.
B.
Useful calculation.
C.
Transformation of SDE based on change of measure results.
D.
Transformation of SDE in two asset situation.
E.
Transformation of SDE based on term matching.
F.
Invariant representation for drift modification.
G.
Transformation of SDE based on delta hedging.
H.
Example. Change of numeraire in Black-Scholes economy.
I.
Other ways to look at change of numeraire.
3.
Basics of derivative pricing II.
4.
Market model.
5.
Currency Exchange.
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.
Other ways to look at change of numeraire.
e could obtain the same results yet again using Girsanov's theorem or direct moment matching.
Notation.
Index.
Contents.
Copyright 2007