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.
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.
Basic math.
his part is a review of basic concepts applicable to financial mathematics. The selection of subjects is minimalistic.
1.
Conditional probability.
2.
Normal distribution.
3.
Brownian motion.
4.
Poisson 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.
Notation.
Index.
Contents.
Copyright 2007
