Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Services
Author
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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.
7.
Stochastic volatility.
A.
Recovering implied distribution.
B.
Local volatility.
C.
Gyongy's lemma.
D.
Static hedging of European claim.
E.
Variance swap pricing.
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.
Stochastic volatility.
e consider variety of topics connected to modelling of the volatility smile but not covered by the affine equations (Heston equations) framework.
The reference is
[Gatheral]
.
A.
Recovering implied distribution.
B.
Local volatility.
C.
Gyongy's lemma.
D.
Static hedging of European claim.
E.
Variance swap pricing.
Notation.
Index.
Contents.
Copyright 2007