# Recent content by Bastian Gross

1. ### 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. ### New Quant Job

New Quant Job
3. ### PDE for Stochastic Volatility Model and connection to Feynman-Kac

Sorry, but can't read the formulas.
4. ### Finite Differences for option pricing

In large dimension PDE-solving could be really expensive. So be tricky and use reduced basis methods.
5. ### 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.
6. ### 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?
7. ### 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);
8. ### 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.
9. ### 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).
10. ### Inception - the movie

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

12. ### 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
13. ### 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.
14. ### 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:
15. ### 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!