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

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I.Basic math.
II.Pricing and Hedging.
III.Explicit techniques.
IV.Data Analysis.
V.Implementation tools.
1.Finite differences.
2.Gauss-Hermite Integration.
3.Asymptotic expansions.
4.Generation of random samples.
5.Monte-Carlo.
A.Acceleration of convergence.
B.Longstaff-Schwartz technique.
C.Calculation of sensitivities.
6.Convex Analysis.
VI.Basic Math II.
VII.Implementation tools II.
Bibliography.
Forum Notation Index Contents

Monte-Carlo.

he reference for the present chapter is [Glasserman].




A.Acceleration of convergence.
B.Longstaff-Schwartz technique.
C.Calculation of sensitivities.

Forum Notation Index Contents


















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