Quantitative Analysis.
Trading Platform.
Author.

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I.Basic math.
1.Conditional probability.
2.Normal distribution.
A.Definition of normal variable.
B.Linear transformation of random variables.
C.Multivariate normal distribution. Choleski decomposition.
D.Calculus of normal variables.
E.Central limit theorem (CLT).
3.Brownian motion.
4.Topics in stochastic analysis.
5.Poisson process.
6.Kolmogorov's equations in general setting.
7.Hamilton-Jacobi Equations.
8.Convex Analysis.
9.Real Variable.
10.Fundamental solutions. Calculus of distributions.
II.Pricing and Hedging.
III.Explicit techniques.
IV.Data Analysis.
V.Implementation tools.
VI.Applications.
Bibliography.
Forum Notation Index Contents

Normal distribution.

ormal distribution arises in the central limit theorem. By the nature of its origin the set of normal variables is closed with respect to multivariate linear tranformations. Standard independent normal variables act like a normal basis. The expectation acts like a scalar product.




A.Definition of normal variable.
B.Linear transformation of random variables.
C.Multivariate normal distribution. Choleski decomposition.
D.Calculus of normal variables.
E.Central limit theorem (CLT).

Forum Notation Index Contents


















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