Ultimately yes. I have already constructed the dependence between 2 stock payoffs using copula but Im not sure how to calculate the standard deviation. That's where Im stuck at. I also need to choose the best weights to invest in each stock.
I need help.
Im writing a diploma research and Im stuck at one point. So the story is as follows:
I plan to create a portfolio of 2(for simplicity) assets with Markowitz portfolio selection model which takes linear dependency between assets into consideration. I did that thing and...
Completely agree. I have defined some simulations algorithms in C++ and its much more effective in the same manner as Willmot uses and much faster in the same method construction. But you can easily translate the VBA code into the C++ code. The methodology is the same, just the syntax is different.
Thank you guys for your attention. I already ordered the book you recommended Tsotne. I'll try to follow that book and take a look at "Absolute C++/Problem Solving with C++ by Walter Savitch" also(Its seems very big in size, i'm currently downloading) As I read the description of the C++ for...
Hello! I need to study C++ from the scratch and I need your advice which is the best book for quants. I want to study C++ from the mathematical point of view. So what do you think? Which book would you recommend?
Thank you Tsotne. I need to define the MMult (matrix multiplication) method in the same manner, now thinking of the algorithm. Any ideas? I have already taken your advice into account to cast them explicitly from the caller's scope
Why do recruiters ever prefer C++ over C#? As I read most of job requirements in this field C++ is being required in the vast majority of these cases. Can I replace C++ by knowing C#? Or it cannot be altered. Actually what I'm asking is if I can send the application to a job requiring C++ when I...
Actually there are several reasons to update the book every year even if it doesn't contain significant improvement:
1) To keep up with the sales rate in order to maintain reputation and popularity.
2) To increase the revenue by charging higher price even if the book is basically the same as...