Quantitative Analysis
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
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 displaced Heston equations.
B. Displaced Heston equations with term structure.
a. Parameter averaging.
b. Parameter averaging applied to displaced diffusion.
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.

Displaced Heston equations with term structure.


alibration to market data requires that the equations ( displaced Hesotn equations ) would be given term structure:

MATH (DHE with term structure)
The MATH is a deterministic function of the parameter $t$ . Exact analytical tractability is lost. In the next two subsections we will be looking for some parameter $b$ that approximates MATH in some "best" sense.




a. Parameter averaging.
b. Parameter averaging applied to displaced diffusion.

Notation. Index. Contents.


















Copyright 2007