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Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
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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.
A. Analytical tractability of displaced Heston equations.
B. Displaced Heston equations with term structure.
a. Parameter averaging.
b. Parameter averaging applied to displaced diffusion.
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.

Parameter averaging applied to displaced diffusion.

e apply the result of the previous section ( Parameter averaging ) to the equations ( displaced diffusion with term structure ): MATH We approximate $X_{t}$ with the $Y_{t}$ given by MATH and we are seeking for the best parameter $b$ . Using the notation of the previous section MATH The MATH is introduced because of the normalization MATH According to the result ( parameter averaging ) the best parameter $b$ comes from the relationships MATH According to the relationships MATH and MATH the $X_{0,t}$ is given by the SDE MATH

Notation. Index. Contents.

Copyright 2007