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Recent content by Bastian Gross

  1. Bastian Gross

    Calibration on heston Stochastic Volatility Model

    Maybe this site will help you: http://www.math.uni-trier.de/~sachs/scientific_interests/projects/mc_calibration.htm (resp. http://link.springer.com/article/10.1007%2Fs00780-009-0097-9) The testcase (100 plain vanilla option on the S&P 500) for the Heston Model is from the paper by Andersen and...
  2. Bastian Gross

    New Quant Job

    New Quant Job
  3. Bastian Gross

    Finite Differences for option pricing

    In large dimension PDE-solving could be really expensive. So be tricky and use reduced basis methods.
  4. Bastian Gross

    A question about non-typical Black-Scholes equation

    Rannacher smoothing combined with Crank Nicolson may be a good way to work against wiggling at strike.
  5. Bastian Gross

    Can someone help me understand the heston model and its application.

    Did it works? Did you compare your solution with the exact solution of the closed-form Heston?
  6. Bastian Gross

    Calibration with Matlab

    I would write a new function as m-file: function y = barrier(sigma, L) r=.... %all given parameters y = pdepe(m,@pdefun_gbm,@pdeic,@pdebc,x,t1,[],r,sigma);
  7. Bastian Gross

    Can some one explain the Local Volatility (Dupire's Formula) for me?

    You're welcome to ask! I wrote a short explanatory approach for you.
  8. Bastian Gross

    Can some one explain the Local Volatility (Dupire's Formula) for me?

    Hi, derivatives of the call are not only taken with respect to strike K but also with respect to maturity T in place of price S and time t. This is made by an adjoint/backward argument. Maybe this paper by Jim Gatheral will help you (especially section 2.2).
  9. Bastian Gross

    Inception - the movie

    I'm really looking foward to see this movie! Inception will start in Germany at Thursday, like Toy Story 3 :-D
  10. Bastian Gross

    Math quant jokes

  11. Bastian Gross

    GPU computing

    One colleague of mine, Stephan Schmidt, has do some works with PDE on GPUs. Nevertheless he done so on non-financial problems. GPUTop - Topology Optimization on CUDA Graphics Cards (GPU) in 3D
  12. Bastian Gross

    Favourite Finite Difference Methods book(s)?

    Daniel Duffy's "Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach" is quite good! "Pricing Financial Instruments: The Finite Difference Method" by Tavella and Randall is a good book for FDM as well.
  13. Bastian Gross

    Internships and other Summer Activities

    let's stop screwing around, ask me your hardest questions on stochastics I've to say this in a polite way! Thanks for this valueable advice, Dominic! :tiphat:
  14. Bastian Gross

    Superbowl XLIV prediction

    Congratulations to the Saints! Thanks to the Indianapolis Colts and New Orleans Saints for this great sports night! The game was fantastic and exciting!