Quantitative Analysis
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Numerical Analysis
C++ Multithreading
Python for Excel
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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.
a.
Credit Default Swap.
b.
At-the-money CDS coupon.
c.
Option on CDS.
d.
Basket Credit derivative.
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.
Examples of credit derivative pricing.
a.
Credit Default Swap.
b.
At-the-money CDS coupon.
c.
Option on CDS.
d.
Basket Credit derivative.
Notation.
Index.
Contents.
Copyright 2007