Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
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I.
Basic math.
II.
Pricing and Hedging.
1.
Basics of derivative pricing I.
2.
Change of numeraire.
3.
Basics of derivative pricing II.
4.
Market model.
5.
Currency Exchange.
6.
Credit risk.
A.
Delta hedging in situation of predictable jump I.
B.
Delta hedging in situation of predictable jump II.
C.
Backward Kolmogorov's equation for jump diffusion.
D.
Risk neutral valuation in predictable jump size situation.
E.
Examples of credit derivative pricing.
F.
Credit correlation.
a.
Generic Copula.
b.
Gaussian copula.
c.
Example: two dimensional Gaussian copula.
d.
Simplistic Gaussian copula.
G.
Valuation of CDO tranches.
7.
Incomplete markets.
III.
Explicit techniques.
IV.
Data Analysis.
V.
Implementation tools.
VI.
Basic Math II.
VII.
Implementation tools II.
VIII.
Bibliography
Notation.
Index.
Contents.
Gaussian copula.
e produce the
as
using some jointly normal variables
as in (
Sklar theorem 2
) with standard normal marginal distributions. Consequently, we use the resulting
to produce some other
as in (
Sklar theorem 1
) given by some marginal distributions
.
Notation.
Index.
Contents.
Copyright 2007
