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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