Quantitative Analysis.
Trading Platform.
Python for Excel.
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.
A.Ricatti equation.
B.Evaluation of option price.
C.Laplace transform.
D.Example: CDFX model.
5.Heston equations.
6.Displaced Heston equations.
7.Stochastic volatility.
8.Markovian projection.
9.Hamilton-Jacobi Equations.
IV.Data Analysis.
V.Implementation tools.
VI.Basic Math II.
VII.Implementation tools II.
Bibliography.
Forum Notation Index Contents

Laplace transform.


e start our consideration from the Fourier transform.

MATH(Direct Fourier transform)
MATH(Inverse Fourier transform)
We aim to expand these relationsips to a transformationMATH where the $z$ is a complex number $z$, $z=\sigma+i\gamma$, $-m\leq\sigma\leq m$ for some math. The idea is to splitMATH and apply ( Direct Fourier transform),( Inverse Fourier transform) to MATH.

Suppose the integral MATH converges absolutely for the given interval of values $\beta$. We proceed according to the stated above idea: MATHMATH We would like to recover the $f$ from $\psi$. We use ( Inverse Fourier transform) with the substitution MATH, $x\rightarrow\gamma$, MATH: MATH We transform the last relationship:MATH Hence, we invertMATH withMATH





Forum Notation Index Contents


















Copyright 2007.