Quantitative Analysis
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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.
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.
Backward Kolmogorov's equation for jump diffusion.
uppose, as in the section (
Delta hedging with predictable jump
),
Consider
where the
is a Cox process. We calculate similarly to the section (
Backward equation
)
Hence,
Notation.
Index.
Contents.
Copyright 2007
Consider
where the
is a Cox process. We calculate similarly to the section
(
Backward
equation
)
Hence,
