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  1. Bastian Gross

    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. Bastian Gross

    New Quant Job

    New Quant Job
  3. Bastian Gross

    Finite Differences for option pricing

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

    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.
  5. Bastian Gross

    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?
  6. Bastian Gross

    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);
  7. Bastian Gross

    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.
  8. Bastian Gross

    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).
  9. Bastian Gross

    Inception - the movie

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

    Math quant jokes

  11. Bastian Gross

    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
  12. Bastian Gross

    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.
  13. Bastian Gross

    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:
  14. Bastian Gross

    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!
  15. Bastian Gross

    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...
  16. Bastian Gross

    "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!
  17. Bastian Gross

    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"!!! ;)
  18. Bastian Gross

    Quantization and its numerical applications

    Now on GPU: Parallel Implementation of the Quantization Tree Algorithm for CUDA
  19. Bastian Gross

    3-D TV going main stream?

    LCD shutter 3D glasses Hey Andy, nice DeLorean ;) On the site of XpanD you can order shutter 3D glasses for LCDs for around $ 100. Nevertheless you need a compatible monitor/TV, wich is more costly - so far. But I can hardly wait! Especially I can hardly wait for the 3D-versions of Toy Story...
  20. Bastian Gross

    A Fun Interview Question

    It's an funny brainteaser :-) Thanks
  21. Bastian Gross

    Christmas and New Year Wishes

    Merry Christmas and a Happy New Year! Best Wishes for 2010 \\:D/
  22. Bastian Gross

    Lying on your CV

    You should never lie in your CV and during your interview. Human research managers are too clever!
  23. Bastian Gross

    Why not Matlab instead of C++?

    If you have vector- and matrix-based calculations, MatLab will be first choice. Nevertheless if you have loops (if, while, for, etc.) in your code, MatLab will be very slow. So for a mathematician it is very visceral to use MatLab, but MatLab is not really a programming language.
  24. Bastian Gross

    Calculating Historical Volatility

    This seems to be quite good, Frank!
  25. Bastian Gross

    the relevance of learning advanced stochastic calculus

    I emphasize to learn stochastic analysis and calculus. There are a lot of books in that issue, so I've additionally recommend a book by Fred Espen Benth ("Option Theory with Stochastic Analysis") and several papers for the rest.
  26. Bastian Gross

    Are you a genius or an optimiser?

    I'm a "Talented Student"!
  27. Bastian Gross

    Proof for an Intelligent Creator and His purpose

    "The Hitchhiker's Guide to the Galaxy" by Douglas Adams <dd> Now it is such a bizarrely impossible coincidence that anything so mind-bogglingly useful [the babelfish] could have evolved purely by chance that some thinkers have chosen to see it as a final and clinching proof of the nonexistence...
  28. Bastian Gross

    Proof for an Intelligent Creator and His purpose

    Albert Camus - the myth of sisyphus I recommend to read the essay"The Myth of Sisyphus" by the french Nobel Prize in Literature -winner Albert Camus.
  29. Bastian Gross

    Controversial Religion thread

    Intelligent Design That is a delicate question! Do you mean the creationism of a Creater God or more creationism as intelligent design? Because the first one is to refuse by logical reflection and proof by contradiction. By contrast the second one, intelligent design in a specific...
  30. Bastian Gross

    Controversial Religion thread

    Do not pray! Take Action! No wonder that the current financial crisis happened! Quants should not pray but rather take action in a prudent way!
  31. Bastian Gross

    Rating a culture of Moody's manipulation

    Who monitors the monitors? And who monitors the guy, who monitors the monitors?
  32. Bastian Gross

    Controversial Religion thread

    Recommend Books on Buddhism and Science Here is another quote by Albert Einstein: Here is a beginner book by the Gelugpa Dalai Lama in that issue: http://www.amazon.com/dp/0767920813/ Other recommend books are...
  33. Bastian Gross

    Controversial Religion thread

    That is a very clever quote! Thanks alain! ---------- Post added at 12:53 PM ---------- Previous post was at 12:44 PM ---------- Everybody, who is logic-minded, clever, studied and literate, has to avoid (blatant) materialism, absolutely.
  34. Bastian Gross

    50 common interview questions

    Thanks Andy! That is exactly what I need!
  35. Bastian Gross

    Urgently need Stochastic Calculus help!!!

    If you have not a sense for probability and stochastic, it will be hard to learn such things by your own!
  36. Bastian Gross

    Controversial Religion thread

    Buddhism and Science Let me first give a quote by the well-known physicist and mathematician Albert Einstein: I'm practicing Buddhist (Diamonadway; Karma-Kagyu), so I known and Buddha himself said: Whenever a (scientific and/or mindful) contradiction is logical, a Buddhist has to adopt this...
  37. Bastian Gross

    My simulated Wiener process (Matlab)

    The variance of a random variable averages the squares of the deviations of its possible values from its mean value. In your discrete case ( \operatorname{Var}(X)=\frac{1}{M}\sum_{m=1}^{M}(x^m-\mu)^2) Therefore you recognize that some (x^m) are near the mean value (\mu) and a few of them are...
  38. Bastian Gross

    Master reading list for Quants, MFE (Financial Engineering) students

    Robust Static Super-Replication of Barrier Options (J. Maruhn) This is an outstanding new book about barrier options by J. Maruhn. Very recommend to read! <iframe...
  39. Bastian Gross

    PDE w/o ODE?

    I would recommend both courses (ODE and PDE). Even if you can not receive credit points for both classes, you should attend both classes. Nevertheless MATH 3230 Introduction to Differential Equations (MQR) seems to be the better choice. But this is only an introduction that can not be enough!!!
  40. Bastian Gross

    Bruno the movie

  41. Bastian Gross

    Master reading list for Quants, MFE (Financial Engineering) students

    A extremely interesting book about Monte Carlo methods by Duffy and Kienitz: <iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470060697&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0"...
  42. Bastian Gross

    Economic Derivatives

    Okay Alain, I'd understand some inflation option/swaps or barely some GDP instruments. Nevertheless "unemployment rate derivatives"... Whom does it affect? One should bet on the day of Obamas death, because this incidence is pertinent to US-economy. Don't overdo things!
  43. Bastian Gross

    Economic Derivatives

    "Economist Robert Shiller suggests the creation of new financial instruments to hedge against the risk of falling house prices, dwindling salaries and inflation. At question is whether enough speculators would want to increase their exposure to a drop in GDP." The Economist (May 1994) Would you...
  44. Bastian Gross

    Prof. Salih Neftci (1947-2009)

    I catch cystic fibrosis by myself, so I'm deeply grateful to the Neftci family.
  45. Bastian Gross

    Prof. Salih Neftci (1947-2009)

    I just had read his books, but I'm very sad.
  46. Bastian Gross

    Thats inflation...

    The best way to be scarce is to be absent!
  47. Bastian Gross

    What does one TRILLION dollars look like?

    Why does the child have no loan?
  48. Bastian Gross

    hardest question I got in an interview!

    The Answer It's a very easy question, so I hope to get this in my interview. If all four different types of toys have equal probability (\frac{1}{4}): (E[X] = \frac{1+\sum_{j=0}^{\infty}(j+4)(\frac{3}{4})^{j}}{\sum_{i=0}^{\infty}(\frac{3}{4})^{i}} = \frac{25}{3}) If all four different types...
  49. Bastian Gross

    Interview with Peter Carr

    I met Peter Carr this week in Frankfurt. His expert knowledge and his nice humor deeply impress me.
  50. Bastian Gross

    What does one TRILLION dollars look like?

    I guess this are the one trillion dollar note:
  51. Bastian Gross

    Finite element method in finance

    Hi featips, first I've to recommend Duffy's books! Nevertheless some problems open up by using FDM/FEM in high-dimensional problems. So in financial engineering MC methods work well.
  52. Bastian Gross

    Blaming Quants for Dummies: The formula that Killed Wall Street

    "The most dangerous part is when people believe everything coming out of it [the copula model]." (David X Li) A true word in season!
  53. Bastian Gross

    Quant finance papers websites?

    Another website for preprints is "The Mathematics Preprint Search System" MPRESS
  54. Bastian Gross

    Quant finance papers websites?

    SIAM has not only a new Journal for Financial Mathematics but also some other worthwhile journals like SIAM Journal on Optimization, SIAM Journal on Numerical Analysis and SIAM Journal on Scientific Computing.
  55. Bastian Gross

    Option greeks: charm, color, speed, dual delta, dual gamma?!

    Hello IylaKeightSix Watch this thread: Show me the code! It seems to be deep, but it's pretty easy :-)
  56. Bastian Gross

    Nvidia - Cuda Toolkit for options pricing

    Does anyone have experience with Star-P? S T A R - P ™
  57. Bastian Gross

    Archimedean copula

    Tools for sampling Multivariate Archimedean Copulas Hello Alfredo, several algorithms are in the paper by Melchiori.
  58. Bastian Gross

    Calibration of the Heston SV-model to market data.

    Hello KasP, see this tread: Does anyone have experience about Heston model's calibration? Best Regards, Bastian
  59. Bastian Gross

    Accuracy of Monte-Carlo Simulation for Option Pricing

    If I finish my paper about this issue, you will get a preprint!
  60. Bastian Gross

    Accuracy of Monte-Carlo Simulation for Option Pricing

    Predictor-corrector schemes are working well in my experience and mind.
  61. Bastian Gross

    Accuracy of Monte-Carlo Simulation for Option Pricing

    1. To improve your (pseudo-) random number generator use HotBits generated by radioactive decay. 2. Use refined schemes like the Milstein-method.
  62. Bastian Gross

    Accuracy of Monte-Carlo Simulation for Option Pricing

    I can't find an error. might well be the source of trouble. For j = 1 To T *252
  63. Bastian Gross

    Christmas and New Year Wishes

    Happy Christmas! Happy Christmas to all quantnetties!
  64. Bastian Gross

    Happy Hanukkah!!!!!

    Shalom! Also by me Happy Hanukkah to you, Shlomi. I hope you'll have a pleasant flight and a good Festival of Lights.
  65. Bastian Gross

    homo economicus

    Man does various noneconomic things like cooperating or punishing for gross injustice at one's own charge. Human mind is more complex as artificial intelligence or arithmetic processing units, human spirit and consciousness is unpredictable and so man's behaviour.
  66. Bastian Gross

    Bernanke cuts base lending rate to nearly zero

    The low base rate will be a range of zero to 0.25 per cent, announced the Federal Open Market Committee and US-Fed, and is aimed at fighting off both deflation of the currency and a paralyzing global credit conglomerate. "Since the committee's last meeting, labour market conditions have...
  67. Bastian Gross

    Documentary: Let's make money!

    As yet I don´t even know if the film will go around the world and will be translated into English! And a memorable and rather frightful quote: 'The best time to buy is when there is blood on the streets.' Mark Mobius (President of Templeton Emerging Markets)
  68. Bastian Gross

    Documentary: Let's make money!

    Has anyone seen this movie made by the austrian Erwin Wagenhofer? 'Let's make Money' Plot synopsis: Let's make money is a very well made documentary which focuses on how money is made and distributed by investors, corporations and the rich elite through the global financial system. Most of...
  69. Bastian Gross

    Quants partly responsible for the crisis?

    Read my blog: lawyers (trust) account 'Cause and effect' is difficult to access for politicans, lawyers and newsmen!
  70. Bastian Gross

    Math quant jokes

    Foreign Policy without orientation
  71. Bastian Gross

    The invisible hand of the free market

    Attack of the invisible hand of the free market! There are several comics:
  72. Bastian Gross

    The Verger

    That's a pretty mess!
  73. Bastian Gross

    Moody's Mega Math Challenge

    You probably don't immediately think of SIAM in connection with activities at the K-12 level. Our focus as a professional society tends to be on furthering research in our discipline, on application of results in science and industry, and on fostering student activities at the graduate level...
  74. Bastian Gross

    The perils of diversification

    That sounds suspiciously like "herd behaviour" to me. Asymmetric aggregation of animals under panic conditions has been observed in many species, including humans and portfolio-manager! It's a byproduct of communication skill of modern mankind and neighbour copying.
  75. Bastian Gross

    Solutions Manual: Dan Stefanica's A Primer for the Mathematics of Financial Engineering

    I am anxious to read forthcoming books in the Financial Engineering Advanced Background Series.
  76. Bastian Gross

    Math quant jokes

    I accidentally took the Fourier transform of my cat!
  77. Bastian Gross

    Math quant jokes

    lame excuse
  78. Bastian Gross

    Math quant jokes

    Why do quants ... ? Q) Why do quants always have the best gardens? A) Because they spend time so much time working on their trees and hedging! Q) Who is a quant's favourite actor? A) Heston Q) Why do quants never get ripped off in Bangkok? A) Because they are experts in pricing exotics...
  79. Bastian Gross

    Math quant jokes

    How to prove it. Proof by vigorous handwaving: <DD>Works well in a classroom or seminar setting. </DD> Proof by forward reference: <DD>Reference is usually to a forthcoming paper of the author, which is often not as forthcoming as at first. </DD> Proof by funding: <DD>How could three...
  80. Bastian Gross

    Math quant jokes

    Q: How does one insult a mathematician? A: You say: "Your brain is smaller than any >0!" Q: What does the zero say to the the eight? A: Nice belt! Q: How do you tell that you are in the hands of the Mathematical Mafia? A: They make you an offer that you can't understand. Q: Why...
  81. Bastian Gross

    Math quant jokes

    Incorrect Calculation -> Financial Crisis ??? ;) A mathematician and a Wall street broker went to races. The broker suggested to bet $10,000 on a horse. The mathematician was sceptical, saying that he wanted first to understand the rules, to look on horses, etc. The broker whispered that he...
  82. Bastian Gross

    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})
  83. Bastian Gross

    Math quant jokes

    Nice try ..... :smt024 :D
  84. Bastian Gross

    Gaussian Quadrature

    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}))
  85. Bastian Gross

    Predictions for stocks before New Year is done.

    Yes, there is a large rally today!
  86. Bastian Gross

    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! ;-)
  87. Bastian Gross

    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...
  88. Bastian Gross

    Math quant jokes

    Future trend of financial solution!
  89. Bastian Gross

    Math quant jokes

  90. Bastian Gross

    Math quant jokes

  91. Bastian Gross

    Call auction algorithms

    Hello Scarletyoke Watch out this attached paper! Regards Bastian
  92. Bastian Gross

    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...
  93. Bastian Gross

    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.
  94. Bastian Gross

    Voting is today

    May you vote well! Sarah Palin Sings "I Killed A Moose"</EMBED>
  95. Bastian Gross

    Interface between Matlab/VBA/Excel

    Hello Andy, this pdf-file was always guidance for me! QuantNetwork - Financial Engineering Forum
  96. Bastian Gross

    Analyse Gold Returns Distribution

    This is a simple and historical data-sheet:
  97. Bastian Gross

    Clean ES Tick Data

    I'm interested, too!
  98. Bastian Gross

    Duration + Jensen's Inequality

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

    I want your money...The Economist

    Who does agree that "Congress should pass it [Mr Paulson's $700 billion government bail-out plan] —and soon."?
  100. Bastian Gross

    easy matlab ?

    Oh, my bad, my bad! :smt024
  101. Bastian Gross

    easy matlab ?

    function [y] = f(x1,x2) y = 2*x1.^2 + 3*x2; %End Function!!!!!!!!!!! This must be a seperate m-file : "f.m" %array example %array 1: x = [a1 a2 a3] %array 2: y = [b1 b2 b3] % a1 = 1; a2 = 2; a3 = 1.5; b1 = -1; b2 = 0.5; b3 = pi; x = [a1 a2 a3]; y = [b1 b2 b3]; %and now insert this in the...
  102. Bastian Gross

    QuantNet Hiking

    Yeah, it's fantastic weather and a scenic route!
  103. Bastian Gross

    QuantNet Hiking

    The weather on Saturday in Manderschied will be very fine: about 65°F chance of rain 10% and in the afternoon sunny
  104. Bastian Gross

    A New Genre on Wall St.: Bailout Blog

    I guess, that every "Bush-President" want to make a bailout! Georg W. Bush (jun.) and Paulson urged to let the Treasury use up to 700$ billion to buy some complex mortgage-related securities from some U.S.-financial institutions. And Georg H. W. Bush (sen.) made an bailout about almost 200$...
  105. Bastian Gross

    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
  106. Bastian Gross

    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!
  107. Bastian Gross

    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?
  108. Bastian Gross

    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!
  109. Bastian Gross

    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.
  110. Bastian Gross

    QuantNet Hiking

    Thanks Alain. I'll join your invitation.
  111. Bastian Gross

    QuantNet Hiking

    I'm very interested in hiking and trekking, but actually and currently only in Europe. So the brunch part. :thumbsup:
  112. Bastian Gross

    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.
  113. Bastian Gross

    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>
  114. Bastian Gross

    What are you listening to now ?

    For crazy fun: Spy Kowlik http://www.myspace.com/spykowlik
  115. Bastian Gross

    What are you listening to now ?

    SEEED Herbert Groenemeyer Juli Nelly Furtado Rihanna Johnny Cash Katie Melua
  116. Bastian Gross

    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".
  117. Bastian Gross

    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"...
  118. Bastian Gross

    Quant finance papers websites?

    Gloria Mundi is a good site for risk-management papers.
  119. Bastian Gross

    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
  120. Bastian Gross

    Nvidia - Cuda Toolkit for options pricing

    I'm very interested, so tell me more!
  121. Bastian Gross

    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
  122. Bastian Gross

    Math quant jokes

    negative volatility Derivate Collector is an funny comic by Espen Haug: negative volatility
  123. Bastian Gross

    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...
  124. Bastian Gross

    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...
  125. Bastian Gross

    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
  126. Bastian Gross

    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.
  127. Bastian Gross

    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. ;-)
  128. Bastian Gross

    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.
  129. Bastian Gross

    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...
  130. Bastian Gross

    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;"...
  131. Bastian Gross

    Quantitative Interview questions and answers

    Without any utility function I would prefer a "B-B" strategy.
  132. Bastian Gross

    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>
  133. Bastian Gross

    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.
  134. Bastian Gross

    Math quant jokes

    Then a miracle occurs! And this is one more dumb math comic of my favourite Sidney Harris: :-k
  135. Bastian Gross

    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!"
  136. Bastian Gross

    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...
  137. Bastian Gross

    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
  138. Bastian Gross

    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.
  139. Bastian Gross

    Does anyone have experience about Heston model's calibration?

    The Levenberg-Marquardt Method should also be recommendable.
  140. Bastian Gross

    Analyse Gold Returns Distribution

    Block Maxima Method Okay, block maxima method is an other algorithm. I don't know much about this. This paper could be helpful:
  141. Bastian Gross

    Analyse Gold Returns Distribution

    Excelsheet This is a simple and non historical data-sheet:
  142. Bastian Gross

    This is cool: backtesting baseball

    Sports and statistics are inseparably. :)
  143. Bastian Gross

    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%
  144. Bastian Gross

    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...
  145. Bastian Gross

    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...
  146. Bastian Gross

    stochastic simulation using C++

    You're knowing C++-programming : good You're knowing stochastic algorithm : also good
  147. Bastian Gross

    Of Markets and Mortgages

    Is this so?
  148. Bastian Gross


    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.
  149. Bastian Gross

    Literature on algorithmic trading

    This could be helpful: Chameleon Productions
  150. Bastian Gross

    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
  151. Bastian Gross


    Shiryaev Hey Shreve and Jacod are very introductory, but I'm missing Shiryaevs books: <IFRAME style="WIDTH: 120px; HEIGHT: 240px" marginWidth=0 marginHeight=0...
  152. Bastian Gross

    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...
  153. Bastian Gross

    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
  154. Bastian Gross


    Hey Andy, Matlab GUI-application-code get very out of hand ;). Nevertheless I'll code some implied vola and other calibration GUI-applications.
  155. Bastian Gross

    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...
  156. Bastian Gross

    Signs that You May Be Addicted to Quantnet

    19. If you wanted to talk eloquent and felicitous to someone, you will "Go Advanced".
  157. Bastian Gross

    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).
  158. Bastian Gross

    Interview with Tim Grant

    Thanks a lot! Tim and Andy. This is an interesting thread once more.
  159. Bastian Gross

    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...
  160. Bastian Gross

    Question about 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! ;)
  161. Bastian Gross


    Computing Greeks with Matlab Hello, I estimate call and put Greeks now.
  162. Bastian Gross

    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." ;)
  163. Bastian Gross

    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...
  164. Bastian Gross


    Computing Greeks with Matlab GUI Hi Andy, this is my Matlab-Gui-Application (with main-part in the middle): %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % Computing Greeks!!!!!!!!!!! % Bastian Groß %...
  165. Bastian Gross

    Game Theory to price Options?

    The Game-Theoretic Probability and Finance Project Here are some more game theory:
  166. Bastian Gross

    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} & &...
  167. Bastian Gross

    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...
  168. Bastian Gross

    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...
  169. Bastian Gross

    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.
  170. Bastian Gross

    Interesting Math Problem

    Right, but you need more food and less gym-workout. ;)
  171. Bastian Gross

    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:
  172. Bastian Gross

    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:
  173. Bastian Gross


    Hi Andy, I'll do my best, to start an very nice GUI Matlab-application. But I need some help by some Matlab-Tutorium.
  174. Bastian Gross


    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!
  175. Bastian Gross

    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)...
  176. Bastian Gross

    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...
  177. Bastian Gross

    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...
  178. Bastian Gross

    Introducing Bernard

    Hello Professor Donefer, very good and detailed bibliography!
  179. Bastian Gross

    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...
  180. Bastian Gross

    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...
  181. Bastian Gross

    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.
  182. Bastian Gross

    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?
  183. Bastian Gross

    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!)...
  184. Bastian Gross

    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.
  185. Bastian Gross

    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...
  186. Bastian Gross

    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...
  187. Bastian Gross

    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.
  188. Bastian Gross

    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 :)
  189. Bastian Gross

    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?