Recent content by Lun

Has anybody tried it out ? If yes, on quant project ? From what I observe, it is like "Task Parallel Lib" of .Net 4.0

I would say, we just choose the appropriated one from all methods. We won't say when have to use which. What's more important is that you know how to use these methods, and choose the appropriated one under a given situation.

let's put the simplest example, an European option. Don't think about path-dependent options first, it just makes your mind more complicated. Go to understand what basically MC & FDM are first. Option price = Expectation(future payoff) x discounted factor If you can express the payoff in terms...

If you can transform it to PDE, then FDM is the tool to solve PDE numercially. PDE is an equation which you need to solve. MC is a simulation. One is an equation, one is a simulation. It's very fundamental, don't mix them.

FDM is for solving PDE. With a PDE, if you can't solve it analytically, you need to solve it numerically, FDM is one of the numercial methods. Under many cases, you develop a model with SDE. By Ito lemma, the SDE is transformed to PDE. Black Scholes model is such an example in which you can...

put it simpler, I want the program to calculate the sum of Fibonacci numbers 1 + 1 + 2 + 3 + 5 + 8 + 13 + 21 + .... (for 50 terms) without knowing the answer first, how can I know that the value returned by my program is correct (bug free) ? well, one may suggest to compare with market data...

Ken, Model validation is a kind of scientific study (we call it "risk management") of models. Can we say in this way ? And it is usually done by other parties such that everything is independent from the party for development & implementation. However, can 2 independent parties think in the...

I understand your points. My point is that it is very common for us to have human errors when (1) we develop a model, and (2) write a program, how can we figure these mistakes out by "testing" I mean, it's impossible to always expect that we don't make mistakes. The fact is we always make...

Ken, Are these practices in the industry ? Or just some theories proposed, but different companies use their own ways ?

OMG..... Are we in two different worlds ? I always find job ad recruiting Quants for model validation, is it fake job ad ? I just quote some, it should not be difficult to find http://jobs.efinancialcareers.hk/job-4000000000809824.htm http://jobs.efinancialcareers.hk/job-4000000000812993.htm...

Well....... I think it's not just a case for MFE For any industry, it's the same. The junior takes the least heavy (you can say "boring") tasks, like photocopying. Do you expect that the clerk will copy for you ? Work for people when you're junior. People work for you when you're senior...

After developing the theortical model, how is it validated ? With the model, then we build it by a program. How the program is tested to make sure that the computation is correct (bug-free) ? I wonder how they're done in the industry Thanks !

Most likely, what you're talking about is sth local, it's some websites in Chinese, can you read it ? Just like FB, Chinese people have their own version (Chinese one), they don't use FB at all (as you know, China is a great market that FB is hunting for, but the door is still closed)...

Thank you very much ! The info is useful. By the way, is the project still running ?

"Pairs Trading: Performance of a Relative-Value Arbitrage Rule" by Gatev, Goetzmann, and Rouwenhorst (2006) Is this paper good ? If gd, is it still working in the current competitive market ? Feel free to comment on it. Thanks !