Quantitative Analysis.
Trading Platform.
Python for Excel.
Author.
Printable PDF file
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.
11.
Optimal control, Bellman equation, Dynamic programming.
A.
Deterministic optimal control problem.
B.
Stochastic optimal control problem.
C.
Optimal stopping time problem. Free boundary problem.
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
Optimal control, Bellman equation, Dynamic programming.
e will be using the techniques developed in the section (
Backward Kolmogorov equation
).
A.
Deterministic optimal control problem.
B.
Stochastic optimal control problem.
C.
Optimal stopping time problem. Free boundary problem.
Forum
Notation
Index
Contents
Copyright 2007.
