Recent content by Bastian Gross

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...

New Quant Job

Sorry, but can't read the formulas.

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

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

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

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);

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

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).

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

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

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.

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:

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