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.
1.
Black-Scholes formula.
2.
Change of variables for Kolmogorov equation.
3.
Mean reverting equation.
4.
Affine SDE.
A.
Ricatti equation.
B.
Evaluation of option price.
C.
Laplace transform.
D.
Example: CDFX model.
a.
Definition of CDFX model.
b.
The martingale normalization (CDFX).
c.
Fourier transform (CDFX).
d.
Calculation of Fourier transform (CDFX).
e.
Calculation of Premium Leg of CDS.
f.
Calculation of the protection leg of the CDS.
5.
Heston equations.
6.
Displaced Heston equations.
7.
Stochastic volatility.
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.
The martingale normalization (CDFX).
e require the coefficient
to satisfy the requirement
We calculate according to recipes of the section (
Poisson process
).
Hence,
Notation.
Index.
Contents.
Copyright 2007
to satisfy the
requirement
We calculate according to recipes of the section
(
Poisson
process
).
Hence,
