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

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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.
5.Heston equations.
6.Displaced Heston equations.
7.Stochastic volatility.
8.Markovian projection.
9.Hamilton-Jacobi Equations.
A.Characteristics.
B.Hamilton equations.
C.Lagrangian.
D.Connection between Hamiltonian and Lagrangian.
E.Lagrangian for the heat equation.
IV.Data Analysis.
V.Implementation tools.
VI.Basic Math II.
VII.Implementation tools II.
Bibliography.
Forum Notation Index Contents

Connection between Hamiltonian and Lagrangian.


ssume that the function $x\left( s\right) $ solves the Euler-Lagrange equation. We introduce the functionMATH Assume further that the equation

MATH(generalized impulse equation)
has a unique smooth solution
MATH(generalized impulse solution)
It follows thatMATH consequently MATH We define a Hamiltonian associated with the Lagrangian $L$ as follows:MATH

Claim

Under assumption that the $x$ solves the EL equation ( Euler Lagrange equation) and the $p$ and $q$ are defined as above, the $p$ and $x$ solve the Hamilton equations:MATH and MATH

Proof

We have the relationshipsMATH satisfied at $x\left( s\right) $ and the definitionMATH We calculate the derivatives MATH, MATH and $\frac{d}{ds}H$ at $x\left( s\right) $ accordingly:MATHMATH





Forum Notation Index Contents


















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