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

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I.Basic math.
1.Conditional probability.
2.Normal distribution.
3.Brownian motion.
4.Poisson process.
5.Ito integral.
6.Ito calculus.
7.Change of measure.
8.Girsanov's theorem.
9.Forward Kolmogorov's equation.
10.Backward Kolmogorov's equation.
A.Multidimensional backward Kolmogorov's equation.
B.Representation of solution for elliptic PDE using stochastic process.
11.Optimal control, Bellman equation, Dynamic programming.
II.Pricing and Hedging.
III.Explicit techniques.
IV.Data Analysis.
V.Implementation tools.
VI.Basic Math II.
VII.Implementation tools II.
Bibliography.
Forum Notation Index Contents

Multidimensional backward Kolmogorov's equation.

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Suppose the processes MATH are given by the SDEsMATH then the functionMATH satisfies the PDEMATH with the final conditionMATH

To understand the structure MATH note that MATH





Forum Notation Index Contents


















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