Quantitative Analysis.
Trading Platform.
Author.

Printable PDF file
I.Basic math.
II.Pricing and Hedging.
III.Explicit techniques.
1.Black-Scholes formula.
A.No drift calculation.
B.Calculation with drift.
2.Change of variables for Kolmogorov equation.
3.Mean reverting equation.
4.Affine SDE.
5.Heston equations.
6.Displaced Heston equations.
7.Stochastic volatility.
8.Markovian projection.
IV.Data Analysis.
V.Implementation tools.
VI.Applications.
Bibliography.
Forum Notation Index Contents

Black-Scholes formula.

his calculation is a common place. However, a good representation of the result is important for further use.




A.No drift calculation.
B.Calculation with drift.

Forum Notation Index Contents


















Copyright 2007.