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WikiPage Home modified by zhangliang

zhangliang — Mon, 28 Nov 2011 18:59:44 -0000

--- v6 
+++ v7 
@@ -1,7 +1,3 @@
-[[project_admins]]
-[[download_button]]
-
-
 ## The goal of this project is to gain a deeper understanding of the theory of quantitative finance by implementing mathematical models. The programming language being used is C++. ##
 
 I am going to implement the following models and to utilize the following techniques.

WikiPage Home modified by zhangliang

zhangliang — Mon, 28 Nov 2011 02:57:09 -0000

--- v5 
+++ v6 
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 [[download_button]]
 
 
-## The goal of this project is to have a deeper understanding of quantitative finance theory and gain practical experience. ##
+## The goal of this project is to gain a deeper understanding of the theory of quantitative finance by implementing mathematical models. The programming language being used is C++. ##
 
+I am going to implement the following models and to utilize the following techniques. 
 # price and calculate greeks for all products #
 * European, American, Bermudan, Asian,
 * Call, Put, Cash-or-Nothing, Asset-or-Nothing,

WikiPage Home modified by zhangliang

zhangliang — Thu, 24 Nov 2011 04:10:49 -0000

--- v4 
+++ v5 
@@ -8,33 +8,52 @@
 * European, American, Bermudan, Asian,
 * Call, Put, Cash-or-Nothing, Asset-or-Nothing,
 * Knock-in, Knock-out barrier
+    * Up-and-Out
+    * Down-and-Out
+    * Up-and-In
+    * Down-and-In
+* Lookback
+    * Floating Strike Lookback
 * Credit Product: Corpula
 * Interest Rate Product
 
 # with all frameworks 
-* Black-Scholes, HJM, Libor Market Model(BGM)
-* Short rate: 
-    * Hull-White
-    * Vasicek, 
-    * Cox-Ingersoll-Ross, 
-    * Black-Derman-Toy,
-    * Black-Karsinski
+* Black-Scholes
+* Interest Rate Models
+    * HJM
+    * Libor Market Model(BGM)
+    * Short rate: 
+        * Hull-White
+        * Vasicek, 
+        * Cox-Ingersoll-Ross, 
+        * Black-Derman-Toy,
+        * Black-Karsinski
 
 * Volatility Model:
-    * local and stochastic volatility, 
+    * local volatility,
+    * Stochastic volatility 
     * implied constant volatility,
     * implied volatility surface
 
 * Pricing techniques:
     * Monte Carlo:Simple, Exotic
         Variance Reductions:AntiThetic,moment matching
     * Tree: Binomial, Trinomial, different u and d
-    * PDE with FDM: explicit, implicit, crank-nicolson  
+    * PDE 
+        * FDM
+            * explicit
+            * implicit
+            * crank-nicolson  
     * Analytic solution
+
 * with all C++ technologies:
     * design pattern
     * generic programming
     * STL
     * boost
-    * numerical library: blas,lapack,GNU Scientific Library
+    * numerical library: 
+        * blas
+        * lapack
+        * GNU Scientific Library
+        * Numerical Recipes
     * multi-threaded: boost thread, MPI, CUDA

WikiPage Home modified by zhangliang

zhangliang — Thu, 24 Nov 2011 04:02:51 -0000

--- v3 
+++ v4 
@@ -2,7 +2,7 @@
 [[download_button]]
 
 
-The goal of this project is to have a deeper understanding of quantitative finance theory and gain practical experience.
+## The goal of this project is to have a deeper understanding of quantitative finance theory and gain practical experience. ##
 
 # price and calculate greeks for all products #
 * European, American, Bermudan, Asian,

WikiPage Home modified by zhangliang

zhangliang — Thu, 24 Nov 2011 04:02:24 -0000

--- v2 
+++ v3 
@@ -1,6 +1,7 @@
 [[project_admins]]
 [[download_button]]
 
+
 The goal of this project is to have a deeper understanding of quantitative finance theory and gain practical experience.
 
 # price and calculate greeks for all products #

WikiPage Home modified by zhangliang

zhangliang — Thu, 24 Nov 2011 04:01:47 -0000

--- v1 
+++ v2 
@@ -1,5 +1,39 @@
-Welcome to your wiki!
-
-This is the default page, edit it as you see fit. To add a page simply reference it within brackets, e.g.: [SamplePage].
-
-The wiki uses [Markdown](/p/quant-study-lib/home/markdown_syntax/) syntax.
+[[project_admins]]
+[[download_button]]
+
+The goal of this project is to have a deeper understanding of quantitative finance theory and gain practical experience.
+
+# price and calculate greeks for all products #
+* European, American, Bermudan, Asian,
+* Call, Put, Cash-or-Nothing, Asset-or-Nothing,
+* Knock-in, Knock-out barrier
+* Credit Product: Corpula
+* Interest Rate Product
+
+# with all frameworks 
+* Black-Scholes, HJM, Libor Market Model(BGM)
+* Short rate: 
+    * Hull-White
+    * Vasicek, 
+    * Cox-Ingersoll-Ross, 
+    * Black-Derman-Toy,
+    * Black-Karsinski
+
+* Volatility Model:
+    * local and stochastic volatility, 
+    * implied constant volatility,
+    * implied volatility surface
+
+* Pricing techniques:
+    * Monte Carlo:Simple, Exotic
+        Variance Reductions:AntiThetic,moment matching
+    * Tree: Binomial, Trinomial, different u and d
+    * PDE with FDM: explicit, implicit, crank-nicolson  
+    * Analytic solution
+* with all C++ technologies:
+    * design pattern
+    * generic programming
+    * STL
+    * boost
+    * numerical library: blas,lapack,GNU Scientific Library
+    * multi-threaded: boost thread, MPI, CUDA

WikiPage Home modified by zhangliang

zhangliang — Sun, 20 Nov 2011 00:52:37 -0000

Welcome to your wiki! This is the default page, edit it as you see fit. To add a page simply reference it within brackets, e.g.: [SamplePage]. The wiki uses [Markdown](/p/quant-study-lib/home/markdown_syntax/) syntax.