Quantitative Analysis.
Trading Platform.
Python for Excel.
Author.

Printable PDF file
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.
5.Heston equations.
6.Displaced Heston equations.
A.Analytical tractability of the displaced Heston equations.
B.Displaced Heston equations with term structure.
7.Stochastic volatility.
8.Markovian projection.
9.Hamilton-Jacobi Equations.
IV.Data Analysis.
V.Implementation tools.
VI.Basic Math II.
VII.Implementation tools II.
Bibliography.
Forum Notation Index Contents

Analytical tractability of the displaced Heston equations.

e are considering the equationMATH introduced in the previous section ( Displaced Heston equations). Introduce MATH thenMATH Hence, $Z_{t}$ is given by the ( Heston equations) and the analytical tractability follows from considerations of the section ( Heston equation section).





Forum Notation Index Contents


















Copyright 2007.