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.
III.
Explicit techniques.
IV.
Data Analysis.
V.
Implementation tools.
1.
Finite differences.
2.
Gauss-Hermite Integration.
3.
Asymptotic expansions.
4.
Monte-Carlo.
A.
Generation of random samples.
B.
Acceleration of convergence.
C.
Longstaff-Schwartz technique.
D.
Calculation of sensitivities.
5.
Convex Analysis.
VI.
Basic Math II.
VII.
Implementation tools II.
VIII.
Bibliography
Notation.
Index.
Contents.
Monte-Carlo.
he reference for the present chapter is
[Glasserman]
.
A.
Generation of random samples.
B.
Acceleration of convergence.
C.
Longstaff-Schwartz technique.
D.
Calculation of sensitivities.
Notation.
Index.
Contents.
Copyright 2007
