Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Services
Author
Printable PDF file
I.
Basic math.
1.
Conditional probability.
2.
Normal distribution.
3.
Brownian motion.
4.
Poisson process.
A.
Definition of Poisson process.
B.
Distribution of Poisson process.
C.
Poisson stopping time.
D.
Arrival of k-th Poisson jump. Gamma distribution.
E.
Cox 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.
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.
Poisson process.
oisson process extends analysis of continuous stochastic processes to processes with jumps. The references for this section are
[Shreve]
and
[Bielecki]
.
A.
Definition of Poisson process.
B.
Distribution of Poisson process.
C.
Poisson stopping time.
D.
Arrival of k-th Poisson jump. Gamma distribution.
E.
Cox process.
Notation.
Index.
Contents.
Copyright 2007