Quantitative Analysis
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Author
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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.
Generation of random samples.
5.
Monte-Carlo.
A.
Acceleration of convergence.
a.
Antithetic variables.
b.
Control variate.
c.
Importance sampling.
d.
Stratified sampling.
B.
Longstaff-Schwartz technique.
C.
Calculation of sensitivities.
6.
Convex Analysis.
VI.
Basic Math II.
VII.
Implementation tools II.
VIII.
Bibliography
Notation.
Index.
Contents.
Acceleration of convergence.
a.
Antithetic variables.
b.
Control variate.
c.
Importance sampling.
d.
Stratified sampling.
Notation.
Index.
Contents.
Copyright 2007