From 05b7b57ca839629169c5d8a2574d6c87a10f39f6 Mon Sep 17 00:00:00 2001 From: John Bywater Date: Wed, 4 Oct 2017 16:59:06 +0100 Subject: [PATCH] Improved README. --- README.md | 5 ++--- 1 file changed, 2 insertions(+), 3 deletions(-) diff --git a/README.md b/README.md index bc9d9c7..f6c85ad 100644 --- a/README.md +++ b/README.md @@ -58,6 +58,8 @@ such as: [geometric Brownian motion](https://en.wikipedia.org/wiki/Geometric_Brownian_motion) for the `Market` element; and [least squares Monte Carlo](https://en.wikipedia.org/wiki/Monte_Carlo_methods_for_option_pricing#Least_Square_Monte_Carlo) for the `Choice` element. +The validity of Monte Carlo simulation for all possible expressions in the language is +[proven by induction](http://www.appropriatesoftware.org/quant/docs/quant-dsl-definition-and-proof.pdf). In the table below, expression `v` defines a function `[[v]](t)` from present time `t` to a random variable in a probability space. For market `i`, the last price `Si` and volatility `σi` are determined @@ -89,9 +91,6 @@ on filtration `F`. [[-x]](t) = -[[x]](t) ``` -The validity of Monte Carlo simulation for all possible expressions in the language is -[proven by induction](http://www.appropriatesoftware.org/quant/docs/quant-dsl-definition-and-proof.pdf). - ### Software This library is an implementation of Quant DSL in Python.