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.
3.
Basics of derivative pricing II.
4.
Market model.
5.
Currency Exchange.
6.
Credit risk.
A.
Delta hedging in situation of predictable jump I.
B.
Delta hedging in situation of predictable jump II.
C.
Backward Kolmogorov's equation for jump diffusion.
D.
Risk neutral valuation in predictable jump size situation.
E.
Examples of credit derivative pricing.
F.
Credit correlation.
a.
Generic Copula.
b.
Gaussian copula.
c.
Example: two dimensional Gaussian copula.
d.
Simplistic Gaussian copula.
G.
Valuation of CDO tranches.
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.
Simplistic Gaussian copula.
onsider
in the form
(Simplistic copula)
Conditionally on
all of the
are independent. This allows to do calculations conditionally on
and consequently integrate over all values of
.
Notation.
Index.
Contents.
Copyright 2007