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  1. P

    Geometric Brownian Motion Drift

    Sorry, i read S2/S1 instead of S(T2)/S(T1) ;)
  2. P

    Geometric Brownian Motion Drift

    Hi, Ito Formula : If mu1 = Drift(S1), s1=Vol(S1) mu2 = Drift(S2), s2=Vol(S2) rho*dt=d(W1(t),W2(t)) Drift(S1/S2) = mu1 - mu2 + s2*s2 - rho*s1*s2 J
  3. P

    Help: modeling foreign exchange rate

    Hi you try to make an hybrid model the first model to test in a simple brownian geometric on Fx In this case with stochastic rates you can easily find closes form formula for european option. To price European option it's the simple BS formula with a different vol (with a simple Ito formula you...
  4. P

    Quant Market

    Finance jobs, banking jobs, recruitment in investment banking & in the financial markets
  5. P

    How to simulate a multivariate diffusion?

    You must use Monte Carlo model if you want to simule multivariate heston In a first time you can just make a Euler scheme for the diffusion and the only problem is to reduce the matrix covariance between S1,V1,S2,V2 you can use cholevski decomposition In a second time for the diffusion you can...
  6. P

    How to generate a random number in C++?

    Hi, you can find here a SIMD Mersenne Twister http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/SFMT/index.html The big advantages of Mersenne Twister is that you can generate random number by group and consequently with CUDA ;)
  7. P

    New Quantitative Finance archive

    I think that category proposed by arxiv are too global but it's a good idea
  8. P

    Quant paper publications?

    arXiv And SSRN are the two well known database of Quantitative Research However, you can send your article on my website http://www.quant-press.com Thx J
  9. P

    Nvidia - Cuda Toolkit for options pricing

    I think OpenCL arrives at a good time because NVIDIA have many difficulties with the crisis
  10. P

    Top 7 Books to Read

    My choice : 1. Monte Carlo methods - Glasserman 2. Interest rate models - Brigo and Mercurio 3. Finite difference methods in financial engineering - Daniel Duffy 4. Design Pattern C++ - M.Joshi 5. Pricing financial instrument : the finite difference method - Domingo Tavella 6. Volatility and...
  11. P

    Nvidia - Cuda Toolkit for options pricing

    Ok with a QuadCore computer how many times it takes ? with 8-Core ? Because in this example, the GPU power is canceled by transfering data of the 500 000 options...
  12. P

    Nvidia - Cuda Toolkit for options pricing

    For compatibility just look OpenCL and i think next year OpenCL will be a standard However, intel with Larabee will be a good competitor 500,000 options in 1.5seconds, it's not a real case because you will need cudamemcpy for all your data : Forward, Discount etc... It's the famous example in...
  13. P

    Nvidia - Cuda Toolkit for options pricing

    1) Just go to OpenCL Opencl is universal ;) 3) "The bus speed of your system will allow your GPU to write to and from system RAM in an efficient manner especially if you employ a PCIe 2.0 card and DDR3 ram" Ok, but if for each evaluation of your payoff you need to put GPU data on CPU data...
  14. P

    Nvidia - Cuda Toolkit for options pricing

    1) NVIDIA-CUDA, AMD-Brook and IBM for the CELL are three possibility to use new way with GPU (altough cell it's a little be different) However, openCL was launched today with the first header. I think it would be the solution in the future OpenCL - Wikipedia, the free encyclopedia 2) right 3)...
  15. P

    Gaussian copula and credit derivatives

    In fact, Quantifi develop new methods because with the classic gaussian copula, the base correlation of the tranche 15-30 for example can not be calibrated with constant recovery of 0.4. Moreover, we see a price in the market for the Tranche 60-100% which must be 0. bp with a constant recovery...
  16. P

    Intro book on PDE

    It's a PDE Book for financial intrument : Pricing Financial Instruments: The Finite Difference Method by Domingo Tavella
  17. P

    new website for quantitative analyst : The Quantitative Finance library

    Thanks for the feedback but i did not succeed to reproduce this bug but you will try to correct it. Moreover, archive newsletter are only test mail for the present moment ;) Thanks a lot J Edit: i succeed to reproduce it this bug arrives when you click on the url in the newsletter I will correct...
  18. P

    new website for quantitative analyst : The Quantitative Finance library

    We have create a newsletter, if you want to subscribe to our monthly newsletter please go to: The Quantitative Finance Library Best Regards J
  19. P

    Quant finance papers websites?

    DefaultRisk.com The web's biggest credit risk modeling resource. : specialist of Credit Risk
  20. P

    Financial Engineering Search Portal

    I have heard the same story ;)
  21. P

    new website for quantitative analyst : The Quantitative Finance library

    Just another post to introduced you our RSS : http://www.quant-press.com/quantpress.xml You can add this feed into your favorite reader Best Regards Jonathan
  22. P

    new website for quantitative analyst : The Quantitative Finance library

    This post is to present you a new website for the quantitative finance community: The Quantitative Finance Library This website is a library full of links to the main articles of quantitative finance. All the articles on this website are freely downloadable. We post new articles...
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