Tuesday, February 1, 2011

quant topics i should learn

looked through a big glossy from wilmott's certificate in quantitative finance. saw some terms that i wasn't sure i knew about. so here's a list, so i can make sure i learn about them and i don't need to take any of their classes. fokker-planck and kolmogorov the radon-nikodym derivative girsanov's theorem yield, duration, and convexity stochastic and spot-rate models affine stochastic models heath, jarrow and morton reduced-form model and the hazard rate structural default models cds pricing, market approach synthetic cdo pricing risk of default, structural and reduced form copulas brownian bridge (monte carlo?) sobol' (quasi monte carlo?) crank-nicolson black-litterman (portfolio management) levy copulas (cdo pricing) fixed income: bgm, black 76 variance gamma vg le'vy stochastic monetary policy models for interest rate derivatives gram-schmitdt process

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