Index

Quantitative Analysis.

Trading Platform.

Author.

Printable PDF file

I.

II.

Pricing and Hedging.

III.

Explicit techniques.

IV.

V.

Implementation tools.

VI.

Forum

Notation

Index

Contents

Index.

Affine alpha component

Affine beta component

Affine boundary conditions

Affine characteristic function 1

Affine characteristic function 2

Affine_equation_ab

Affine_equation_section

Almost sure convergence

Almost sure convergence 2

Alternating_boundary

Alternating_boundary1

Alternating_boundary2

Alternating_directions1

Alternating_directions2

Arbitrage on lattice

Attainable sets

Backward equation on lattice

Backward induction

Backward Kolmogorov operator

Backward Kolmogorov with running payoff

Backward_equation_for_jump_diffusion

Backward_equation_section

Basic existence of incomplete market pricing

Basket credt derivative section

Bayesian_technique

Baysian_statistics_section

Bellman equation section

Bifunction duality theorem

Black Scholes formula

Black Scholes property 1

BlackScholesUndiscountedCall

Borell-Cantelli's lemma, part 1

Borell-Cantelli's lemma, part 2

Box-Miller procedure

Brownian_motion

Cauchy inequality

Central limit theorem

chained integral n factorial

Change of measure 1

Change of measure on lattice

Change of measure on lattice 1

change of measure requirement

Change of numeraire kernel

Change_of_Brownian_motion

Change_of_drift_recipe

Change_of_drift_recipe_1

Change_of_measure_definition_section

Change_of_measure_recipe_section

Change_of_numeraire_definition_section

Change_of_numeraire_recipe_section

Chebyshev inequality

Coherent measure

Common_application_of_change_of_measure

Conditional probability chapter

Conditionally_independent_defaults

Continuity lemma

Convex duality theorem

Convex homogenous function property

Convex Hull Cone Relative Interior

Copula_calculation_for_CDO

Credit_default_swap_section

Currency_change_of_numeraire_recipe

Definition of the Poisson process

Definition_of_change_of_measure

Delta_hedging_with_predictable_jump_section

DHE with term structure

Dirac delta function

Direct Fourier transform

Displaced diffusion section

Displaced Heston equations

Displaced Heston equations chapter

Distribution density via Call

Distribution of Poisson process section

Dominated convergence theorem

Dyson decomposition theorem

Equivalent Markov processes

Euler Lagrange equation

Evolution_equation

Existence of incomplete market pricing

Explicit_scheme

Extension path definition

Fair Variance vs Log contract

Filtration_definition_section

Financial model on lattice

Finite space variable incomplete market

First order PDE

Forward Kolmogorov equation for Ito process

Forward and backward equations

Forward equation on lattice

Forward_exchange_rate

Forward_Kolmogorov

Fundamental theorem of finance on lattice

Gamma_distribution

generalized impulse equation

generalized impulse solution

General_change_of_Brownian_motion

Generic Backward Kolmogorv

Generic Forward Kolmogorov

Girsanov_kernel

Girsanov_theorem

Girsanov_theorem_A

Gyongy lemma section

Hahn Banach theorem

Hahn decomposition theorem

Heston approximation

Heston_equations

Heston_equation_section

Holder inequality

Hyperplane representation

Hypothesis_testing_problem

Idea of Bayesian analysis section

Implicit spectrum

Implicit_scheme

Incomplete market ask

Incomplete market bid

Infimal convex function

Infimal convolution

Infimal convolution of support functions

Intersection property

Inverse Fourier transform

Inversion_remark

Ito_derivative_of_product

Jordan decomposition theorem

Kalman_filter_II_section

Kalman_II_model

Known_Variance1

Known_Variance2

Kolmogorov equations in general setting

Krank_Nicolson_spectrum

Kuhn-Tucker coefficients

Laplace_problem

Laplacian_Limits

Laplacian_Spectrum

Lattice function def

Lattice martingale

Lattice normalization 1

Lattice normalization 2

Lax_convergence_theorem

Lebesgue integral definition

Linear transformation of random variables

log contract section

Main property of convex function

Main_property_of_change_of_measure

Market_price_of_risk

Markov generator

Markov generator def

Markov Generator normalization

Markov generator properties

Markov propagator

Markov propagator def

Markovian projection

Markovian projection on displaced diffusion section

Markovian projection section

MarkPr TargetEquation

MarkPr TargetEquations 2

Martingale on lattice

Maximal_likelihood_section

Monotonic process on lattice

Multidimensional Gyongy lemma

No drift Black Scholes

Normal distribution with unknown parameters 1

Normal distribution with unknown parameters 2

Normal_variable

operations on sets section

Optimal stopping

Optimal utility section delta hedging

order of integration one

order of integration two

Ordinary convex program

Orthogonal_normal_variables

Parameter averaging

Parameter averaging section

Path functional def

Path-Integral representation

Pathwise differentiation

Perturbed convex problem

Piecewise smooth Markov propagator

Poisson property 1

Poisson property 2

Poisson property 3

recovery of implied distribution

Reflection_principle

Remark on stability of financial problems

Ricatti_equation_section

Risk neutral Brownian motion

Risk_neutral_pricing

Second derivative localization

Self financing 1

Self financing strategy

Self financing strategy on the lattice

Senior_tranche_loss

Separation theorem 1

Separation theorem 2

Simple function definition

Simplicial sequence def

Simplistic_copula

Sklar_theorem_1

Sklar_theorem_2

Spectral_mapping

Stability of general evolution equation

Standard_normal_variable

static replication formula

Subdifferential definition

Sufficient statistics for normal sample section

Suitable_numeraire

Support function

System of inequalities proposition

T-forward probability measure

Time series forecasting section

Total_probability_rule

Trading strategies

Transformation of SDE under the change of measure

Transformation of SDE based on delta hedging section

Transformation_to_heat_eq_section

Transitive_bayes_formula

Two_asset_change_of_numeraire_section

Uniform convergence

Unscented conditions for mean

Unscented covariance summary

Unscented mean section

Unscented mean summary

Unscented transformation section

Variance of target process

Variance swap pricing section

Why_Ito_process_section

Young inequality

Zorn maximal principle

Forum

Notation

Index

Contents

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