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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!
16. Applications of Green's and Stoke's Theorems in Finance

Hi Jarrod, it might be, that you have to use Green's and Stoke's theorem by the solution of PDEs. Green's theorem assists you by calculating integrals on boundaries. Nevertheless to read this special case of both theorems is no problem at all. I guess, that each book on numerical solution of...
17. "Numerical Analysis I"- Mathematica or C++ ?

I agree with Lugh (Danie Duffy) and dstefan. I suggest a getting started with Matlab and thereafter a extensice C++ - Course!
18. Comic Relief

Mister Dax One man seen on this site (Fri, march the 6th) is well-known as Dirk Mueller a.k.a. "Mister Dax"!!! ;)
19. Quantization and its numerical applications

Now on GPU: Parallel Implementation of the Quantization Tree Algorithm for CUDA

84. Math quant jokes

That's like a joke made by a professor of the University of Wuppertal (Germany): "At next lectures we'll have sex and perversity." He meant some homological stuff of sheaf cohomology and exact sequences. Abbrevitation: (S_{ex})
85. Math quant jokes

Nice try ..... :smt024 :D

You have to choose answer b, because (\int_{a}^{b}f(x)dx=\frac{b-a}{2}\int_{-1}^{1}f(\frac{b-a}{2}x + \frac{b-a}{2})dx=\frac{b-a}{2}\sum_{k=1}^{n}\omega_{k}f(\frac{b-a}{2}x_{k} + \frac{b-a}{2}))
87. Predictions for stocks before New Year is done.

Yes, there is a large rally today!
88. An infinite number of mathematicians

I hope that each of the countably infinite number of mathematicians gets two beers. So the bartender has to pour a countably infinite number of glasses, twice! The bartender should be Chuck Norris! ;-)
89. Kiyoshi Ito died last week

A chorypheus died Kiyosi Itô has made great contributions to the advancement of the mathematical sciences by laying the foundations of the theory of stochastic differential equations and of stochastic integration in 1942. He has also played a leading role in the subsequent development of these...
90. Math quant jokes

Future trend of financial solution!

93. Call auction algorithms

Hello Scarletyoke Watch out this attached paper! Regards Bastian
94. Are PDEs helpful for stocks

Hi Barchowski, PDEs are very costly in high-dimensional spaces. So I recommend to estimate PDEs for a single stock, but dissuade using PDEs in high-dimensional problems like portfolio optimization. If you are interested in such issue, I'll advise you to read this book: Large-Scale...
95. The Economist: How Porsche fleeced hedge funds and roiled the world's financial markets

This issue makes massive waves in Germany. VW and Porsche affiliate to "Deutschland AG", a conglomerate of members of the german supervisory boards.
96. Voting is today

May you vote well! Sarah Palin Sings "I Killed A Moose"</EMBED>
97. Interface between Matlab/VBA/Excel

Hello Andy, this pdf-file was always guidance for me! QuantNetwork - Financial Engineering Forum
98. Analyse Gold Returns Distribution

This is a simple and historical data-sheet:
99. Clean ES Tick Data

I'm interested, too!
100. Duration + Jensen's Inequality

This estimation isn't tough, but vital to understand.

107. Buffett Buys Goldman Stake in Economic Pearl Harbor' (Update1)

"Hope is not a conviction that something would turn out well, but the certainty that something makes sense, regardless of how it turns out" - Warren Buffet
108. Buffett Buys Goldman Stake in Economic Pearl Harbor' (Update1)

Warren Buffet is going to invest in Goldman Sachs! Is he the awaited saviour on the Wallstreet? Is this investion the golden act of faith in Anglo-Saxon financial markets? Watch!
109. NY to regulate credit default swaps

Warren Buffet is going to invest in Goldman Sachs! Is he the awaited saviour on the Wallstreet? Is this investion the golden act of faith in Anglo-Saxon financial markets?
110. Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

Did you heard about the german KfW-Bank related to Lehman Brothers? In consequence of an "malfunction accident" KfW-Bank transfers almost 350 mio. € to an acount of Lehman long after it had declared itself insolvent. Risk-management .... No chance!
111. QuantNet Hiking

I hiked the Scottish West-Highland-Way last week. But I'll walk the Saar-Hunsrück or the Lieserpfad this Saturday in solidarity.
112. QuantNet Hiking

Thanks Alain. I'll join your invitation.
113. QuantNet Hiking

I'm very interested in hiking and trekking, but actually and currently only in Europe. So the brunch part. :thumbsup:
114. Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

But principally time to realize and appreciate, that risks matters. Also Quants should arrange better risk-management and (fund-) managers should extend their common sense.
115. seeking a good bond book

Frank Fabozzi is his name. <iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0131986430&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>
116. What are you listening to now ?

For crazy fun: Spy Kowlik http://www.myspace.com/spykowlik
117. What are you listening to now ?

SEEED Herbert Groenemeyer Juli Nelly Furtado Rihanna Johnny Cash Katie Melua
118. Quant finance papers websites?

arXiv is a very good, but pretty mathematical and physical paper website. SSRN is one of my favourite paper searching site. And this site by Hans Mittelman is a useful website for optimization. Because of the "Decision Tree of optimization software".
119. MATLAB Texts

In addition to Brandimarte and Fries, I've readed on book by Ottmar Beucher: <iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=354072155X&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no"...
120. Quant finance papers websites?

Gloria Mundi is a good site for risk-management papers.
121. PSOR american call/put option implementation in C++, VBA or any languages

This site should be helpfully: Quantcode
122. Nvidia - Cuda Toolkit for options pricing

There are some good papers about Option Pricing with Graphics Processing Units by Wladimir Surkov. And even some Germans aware GPU-Programing : Turbo-Grafikchips machen PCs schneller
123. Nvidia - Cuda Toolkit for options pricing

I'm very interested, so tell me more!
124. how to wash out noise in high frequency financial time series

Hey Jemnbo, I guess you need some papers by Jeannette Woerner. One of her papers is in this book edited by Shiryaev: Stochastic Finance.("Power and Multipower Variation: inference for high frequency data" pages 343 to 364) Good luck for the olympic games! Bastian
125. Math quant jokes

negative volatility Derivate Collector is an funny comic by Espen Haug: negative volatility
126. Help with probability books

I warmly recommend both books by Karlin & Taylor. Furthermore you should read Protter "Stochastic Integration and Differential Equations". It is a remote possibility to google this book for free. <iframe...
127. Solver and random output

Hey Christian, Excel has (well known) problems with fractional digits, especially with more than 16 digits. So there are many examples like: If the Microsoft-program sum 0.05, -0.07, 0.02 und 0.00, then the result will be -3,46945E-18, but obviously the result should be zero. It's a problem...
128. Quant Finance Journals?

Hello Doug, that are some magazine, where I've read worthwhile and useful papers: Mathematical Finance Journal of Computational Finance RISK-Magazin and SSRN eLibeary
129. Peak Oil?

Thanks Woody, To my way of thinking ecological problems are not only on the world energy resources but also on energy consumption. So the issue is energy savings.
130. Black Swan Theory

I guess that is the exact definition of Nassim Nicholas Taleb's black swan. @ Ka Wai And the "coincidentally-bird" looks up and ahead. ;-)
131. c++ vs. SAS

Hi BrentS, to my mind SAS is the best software package in statistics, but SAS is not ideally suited for applications software. So you should improve your C++ programming skills. SAS-programmers prepare data and applications software programmers use statistical evaluation.
132. Black Scholes Theory Question

Hi maxsidious, answer is easy, because lim(d1) = lim((ln(s/x)+(r+0.5sigma^2)(T-t))/(sigma*(T-t)^0.5)) = Infinity. So lim(from t to T) of N(d1) will be "N(Infinity)" and this is zero. The evaluation is independent from stock price, strick price and interest rate. If maturity day terms...
133. Better derivatives book

I agree with bigbadwolf, The way it is written and over-cited you could very well read this book: <iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470013222&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;"...
134. Quantitative Interview questions and answers

Without any utility function I would prefer a "B-B" strategy.
135. Master reading list for Quants, MFE (Financial Engineering) students

A book for finance with Matlab: <iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0471745030&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>
136. Math quant jokes

"That math prof's marriage is falling apart!" "No wonder! He's into scientific computing - and she's incalculable!" Mathematicians never die - they only loose some of their functions.
137. Math quant jokes

Then a miracle occurs! And this is one more dumb math comic of my favourite Sidney Harris: :-k
138. Math quant jokes

This is a simple unresolved and ongoing problem of math in finance: ;) "But this is the simplified version for the general public!"
139. Learning real analysis

Real Analysis in MFE Hallo Pravit, real analysis is quite different to linear algebra or probability stuff. Nevertheless there are some things that build of analysis topics, like optimization, miscellaneous series expansions and so on. But also real analysis is only a small fraction of math...
140. Does anyone have experience about Heston model's calibration?

This is an Code in C++ for Heston: hestonmodel And this is an Heston-VBA code link. An good VBA-book with Heston code: Option Pricing Models and Volatility Using EXCEL-VBA
141. Need help in getting historial data

Hi Ritesh, my favourite for free historical financial data is the Yahoo Finance Site. But take a look an this thread: Master list of free financial data. PX_CLOSE_1D is the last price of the previous day, as well previous close.
142. Does anyone have experience about Heston model's calibration?

The Levenberg-Marquardt Method should also be recommendable.

144. Analyse Gold Returns Distribution

Excelsheet This is a simple and non historical data-sheet:
145. This is cool: backtesting baseball

Sports and statistics are inseparably. :)
146. Analyse Gold Returns Distribution

Here is a list of quantils: 0.8416 for 20% treshold 1.2816 for 10% 1.6449 for 5% 2.0537 for 2% 2.3263 for 1% 3.0902 for 0.1%
147. Analyse Gold Returns Distribution

Expected Shortfall I agree with RussianMike on dangerous V@R-measurement. In fact V@R is NOT a risk measure, I recommend that you should estimate maximum probable loss in 1d keeping view in mind of normal distribution, by compute the expected shortfall also referred to as conditional-V@R. See...
148. The Black Swan

(Non-weather)-Forecasting is a black magic science. So I like Talebs sight of the finance world, too. But I dislike his topos of "Black Swans", because he measures everything by the same yardstick and lumps all risks and uncertainties together. Everything, that's incomputable any maybe...
149. stochastic simulation using C++

You're knowing C++-programming : good You're knowing stochastic algorithm : also good
150. Of Markets and Mortgages

Is this so?

Hello Quantnet-members, what do you think about eco-business? Does this section grow? How does the U.S. react about this issue? Europe's Next Green Thing In Europe, especially in Germany, their make an huge issue out of eco-business.

This could be helpful: Chameleon Productions
153. What is going on at Bear Stearns ?

Just for fun - Jon Stewarts "crisis in the chartland" Some stuff for laughing: Crisis in the Chartland - Dailey Show
154. Probability

Shiryaev Hey Shreve and Jacod are very introductory, but I'm missing Shiryaevs books: <IFRAME style="WIDTH: 120px; HEIGHT: 240px" marginWidth=0 marginHeight=0...
155. What is going on at Bear Stearns ?

Deutsche Bank alone in Europe to bid for Bear Stearns Hello non-European, March 20: Deutsche Bank was the only big European bank to bid for Bear Stearns in last week's fire sale, a press report said on Thursday, adding that it might get another shot as shareholders balk at the takeover...
156. Just for fun

There is actually a cross-cultural, non-verbal communication between the alien world and our Quant-civilization. :iagree: Very funny and witty! :smt023
157. SHOW ME THE CODE !

Hey Andy, Matlab GUI-application-code get very out of hand ;). Nevertheless I'll code some implied vola and other calibration GUI-applications.
158. Simulation Heston Model

Hallo Fabien, why do you want to simulate an Heston-Price? Do the closed-form-estimation! But in answer of your question: You need 2 "for-loops", one in cause of the time-discretization, and the other one to simulate Monte Carlo. In your code you should get some results, that differs from...
159. Signs that You May Be Addicted to Quantnet

19. If you wanted to talk eloquent and felicitous to someone, you will "Go Advanced".
160. Help logarithm function

Hey Muting, the iterated logarithm is an extremely slowly-growing function, much more slowly than the logarithm itself. So I also would vote for a).
161. Interview with Tim Grant

Thanks a lot! Tim and Andy. This is an interesting thread once more.
162. How to build up the negative gamma position?

Hello Ray, Short calls and short puts both always have negative gamma, wich is meaningful. Negative gamma means that the delta of long calls will become more negative and move upward when the stock prices rises. It means that the delta of short puts will become more negative.Just as delta...

Hey Ray, Hey Stefan, T is as "date" an fix parameter, but you must estimate optionprice and optiondelta with the maturity T-t, this is a variable in time, wich changes. So it makes not only sense, but it is also perfectly right! ;)
164. SHOW ME THE CODE !

Computing Greeks with Matlab Hello, I estimate call and put Greeks now.
165. Not only for those who will have an internship

"Don't tell anyone I said this, but ... I was amused" Thanks, very useful :tiphat:. But "I just didn't have enough time for that." ;)
166. calculus-based statistics and maths requirement

Hi, during your engineering undergraduate course, you should learnt some stuff like Lineare Algebra, but you are not able to compute ODE (ordinary differantial equation), PDE (partiell differential equation), wich are an important factor in MFE, very efficient. Nevertheless, if you've done a...
167. SHOW ME THE CODE !

Computing Greeks with Matlab GUI Hi Andy, this is my Matlab-Gui-Application (with main-part in the middle): %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % Computing Greeks!!!!!!!!!!! % Bastian Groß %...
168. Game Theory to price Options?

The Game-Theoretic Probability and Finance Project Here are some more game theory:
169. Polynomial regression help?

Least Squares Fit of a Quadratic Curve to Data Yes Iulian, this computes in an one-dimensional case polynomial regression: (\begin{align}n & & \sum^{n}_{i=1}x_{i} & & \sum^{n}_{i=1}x_{i}^{2} & & \alpha & =& \sum^{n}_{i=1}y_{i}\\\sum^{n}_{i=1}x_{i} & & \sum^{n}_{i=1}x_{i}^{2} & &...
170. Polynomial regression help?

Least Squares Method Hello, you need a Least Squares Method in a multidimensional model. If you want do it by hand, you'll need to be in luck or you'll need an one-dimensional problem. You've to find a curve which has the best fit to a series of data points like curve fitting or...
171. MATLAB Texts

Numerical Finance with Matlab Hello foquant, I've read a german Matlab-book written by Michael Günther and Ansgar Jüngel (Finanzderivate mit MATLAB). But for you I would recommend this books: <iframe...
172. Looking for a book.

Not a book, but a paper Hi, there is a paper about equity valuation in the attachment. The Bayesian framework justifies the practice and should be useful. I have managed some equity valuation during my internship.
173. Interesting Math Problem

Right, but you need more food and less gym-workout. ;)
174. Interesting Math Problem

Hey, that is some easy game theory stuff. In traffic science it is also well-known, that to be caught up in a traffic jam beats to drive detour. I think this could be related. So I wait this evening for the bus :yawinkle:
175. Does anyone have experience about Heston model's calibration?

Hello Ray, a friend of mine has compute a Heston-Calibration-program in C++. But I do not know his experience with the nimalin moodley 's paper. I ask him for further information. But in the meantime here is a paper about Heston Calibration and a Matlab-Code:
176. SHOW ME THE CODE !

Hi Andy, I'll do my best, to start an very nice GUI Matlab-application. But I need some help by some Matlab-Tutorium.
177. SHOW ME THE CODE !

Hey Andy, I want to join your quest. Also I want to have a great feeling ;) at the end of the day after I learn something useful. :) Thanks!
178. Weather, Energy, and Emissions

Hallo Shakti, Your are interested in Evolution Markets, then this site should be a good general view. But first I would recommend that you to posses some statistical skills and time series analysis methods. Then, if such book is not read by you, read one of this books (depending on prices)...
179. Game Theory to price Options?

Hi, I want to introduce this book about Game Theory to price options by Shafer and Vovk? <IFRAME style="WIDTH: 120px; HEIGHT: 240px" marginWidth=0 marginHeight=0...
180. Fooled by Randomness

Why Value at Risk? I agree with DaveTheMovie on Talebs (and Mandelbrots) arrogance of "know-it-all (but-give-no-solution". But one point also I agree Taleb: To hold that Value at Risk is charlatanism and a dangerously misleading tool in risk-measurement. In 1994 VaR was a evolutionary idea...
181. Introducing Bernard

Hello Professor Donefer, very good and detailed bibliography!
182. How do I become a quant?

Hi Roq, read https://www.quantnet.com/threads/mfe-after-phd-phd-after-mfe-and-related-questions.613/And this PDF-File. Do you have some skills in numerical computing? Take programming (Matlab, VBA or C++ :) ) and mathematical optimization courses! For further information and some job...
183. Quantization and its numerical applications

Okay, I see there are some question about FQ (= functional quantization). At Monte Carlo methods you use some randomnumbers generated by pseudo-random number generator (PRNG) (like Mersenne-Twister or linear congruential generator (LCG)) to calculate expectation value. But problems with...
184. Forecasting Financial Market Volatility

Hello Christian, I've read this paper of Kai Detlefsen and Wolfgang Härdle (HU Berlin, Germany) If you are interesting in calibration of vola swaps: Attaoui I hope the paper helps you.
185. New MFE applicant says hi to everyone

Welcome, Ryan. Thank you, the same luck for you! Why are you associated with FE? Study or profession?
186. VB Code to calculate the BDS statistic

Hi Lucas, Easily, you can use MATLAB's Excel Link. You could then call your MATLAB functions (like the m-file) and variables (Maybe copy/paste your "quants" in Excel.) in Excel and VBA. With ExcelLink you can call matlab functions directly using matlabfcn() from the spreadsheet (in Excel!)...
187. Strong Math & Programming background

Hey Imak, FE (financial engineering) is a technical discipline and so applicants to FE need some good mathematical and computing skills. Do you have another chance to get an additional math class or some programming courses? I would rather do it.
188. The Remarkable Story of Risk (Against the Gods)

Hello, Peter Bernstein's famous book Against the Gods: The Remarkable Story of Risk (1998) is a funny and entertaining reading about the thoroughgoing history of probability and riskmanagement. Bernstein is a very good and clever writer. As mathematican student, I readed this book in 2 days...
189. Quantization and its numerical applications

Hello Quantneties, I want to ask, is someone interested in functional quantization? And not only because of an word joke with QUANTization und QUANTnet. :-\" Functional quantization is an very useful alternative solution for pricing options, especially pathdepent options, in contrast to...
190. Master list of free financial data

My favourite for free financial data is the Yahoo Finance Site. During my risk-management internship in Luxembourg I prefer the german Yahoo site and Onvista. There're also FX-Rates, implied volatilities and Intraday-prices to find. But I will use some free data to test my progam.
191. What is the next programming language you want to learn ?

I know how to program using Matlab, VBA and some SAS. But my next programming language will be C++ and NVidia Cuda, to computing parallel and speed-up some financial programs like MC, etc.... by using the stream processor of your GPU. I think that's a very usefull deal :)
192. Longstaff-Schwartz on GPU

I'm looking at computing NVidia Cuda 1.1 an C++, too. How do you get 50x Speedup for asian Options?