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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 !

Sorry for late reply, I think I find the answer for myself. The reason for me to ask about spot price = 0 is that I'm using finite difference method, that's why I ask about zero. The fact is that it's not just the case for zero, and the answer is on ITM/ATM/OTM. When it's ITM, intrinsic value...

if zero is such a special number, let's play a real case. K = 100, keep S = 1 or 5 for put keep S = 200 for call As TTM is larger, the price for put is lower I'm using a numercial method to study the relationship between option price & time, I have to assume that the spot price keeps...

Hi Tinoob, Can you explain further ? Sorry, I can't catch what you mean.

Well, let's have a discussion. If your logic is correct, try to apply it on a call option. Keep S = 2K the payoff at maturity T of the option will always be K (strike). Now, as the cash flow at maturity is known, the value of the option is just the present value of K, let's say...

let's assume the spot price S=0 I find that longer the time to maturity (TTM), lower the option price (S is still zero, I don't change it) However, with more time, there should be more time value, the option should be more expensive, it contridicts with the fact I stated above. There is no...

I don't have many details. I just see it not just one time from job ad. They require you to have knowledge on risk PnL

what's "risk PnL" ? is it different from PnL ? I know what PnL is, but I have no idea on risk PnL

Thanks for all the replies ! the resources are useful, you all are helpful

According to the work of Derman, exotic options can be statically replicated by a number of standard options for pricing, but smile is not mentioned in the pricing. I can't see the relationship between exotic option pricing and smile, can anyone help ?

Thank you very much for the resources. Do you mean that I can replicate the exotic option with static hedging, and use the static replicating portfolio to valuate the exotic option ? For having a static replicating portfolio, a number of standard options are needed, and that's why a (model...

Anyone has any more idea on this topic ? Thanks !

what I want to ask most is what the practice in the industry is ? it's very common to price American options, and to price options with dividend.

There are several stochastic vol models, what I'm studying is Heston. What the paper (written by Heston) studies is European options, but nowadays the popular use of stochastic vol models is to price exotic options, where can I find more information ? Say, an example to price an exotic option...

I want to overcome 2 limitations of BS, they are 1) can't price American options 2) assume no dividend In the real case, we have dividends, how can we price the option ? use another model or modify the BS ? Similarly, for American options, use another model or modify the BS ?

I want to plot the vol surface, I have the data already, what I miss is the graphical presentation. Can Excel do it ? Is there any good freeware ? Thanks !.

Can I price NDF like other forwards ? spot price of underlying + cost of carry Thanks .

In the long run, it's a normal distribution. From empirical, it's less volatile than normal, with a higher peak In the shor run, it's "large market moves to occur more often" long run = sum of all "short run" if all the "short run" follows "large market moves to occur more often", how can we...

Yike, thank you very much, esp your patient. I hope that I haven't made you exhausted :)

my point of view (very personal) is that empirical is empirical. You don't hold the ball, it falls on the floor, that is empirical. However, being a quant or a physician, the duty is to use theory/model to EXPLAIN things which are empirical. Below is what I extract from the book "Option...

from wiki, I find the following description http://en.wikipedia.org/wiki/Volatility_smile "Modelling the volatility smile is an active area of research in quantitative finance. Typically, a quantitative analyst will calculate the implied volatility from liquid vanilla options and use models...

Then, in the real market, what's commonly traded for ? for vol/gamma/theta or for leverager or for both ? Maybe, the question is who trades which one ? .

I have a stupid question. If a trader trades vanilla options, what do they trade ? They expect the underlying to go up or down, and then trade options for leverage ? or they purely trade for volatility ? I haven't been a trader, I don't have a trader mind set, my question may be stupid...

Thanks for your reply what does F (of FITM, FOTM) stand for ?

what's the pt to find the IV ? the trader can make money from it DIRECTLY ? or it just acts as a reference/index/measurement for options ? we spend so much time to define things with IV, say smile/skew, vol surface, what's the application ? Practically, a trader will use these figures to make...

OK, thank you very much

in c++, polymorphism, it is implemented by v pointer & v table. For exception, how is it implemented ? is there any gd reference sources or books ? Thanks !

before asking questions, I think I should first smile : ) well, I suppose most of people here know what smile and implied volatility (IV) are I just want to ask why people goes to study the relationship between IV and strike ? is there profit we can make from the smile ? or we can arbitrage...

OK, thank you very much !!

Oop...... Thanks for your reply. I want to calculate VaR, so need the correlation, that's why I want to know what/where is reliable.

Where can I find these figures ? Is it sth computed by a program written by me and using closed prices from Yahoo Finance ? Can I get it from RiskMetrics ? If I can, is it free ? Thanks :)

for martingale E[Sj | Si] = Si where j > i but, with prediction (successful rate <> 50%), expectation is no longer unchanged

I do have a question, many pricing models are the with assumption that it's a fair game, say BS model. If you can predict (at certain level), then it's no longer a fair game, then all these pricing models will collapse or we have to rebuild these pricing models with new assumptions, right ?

I miss one word I always wonder how one can predict the future with the database (history) ACCURATELY it's never difficult to predict the difficulty is accuracy can you predict that US comes first, England comes second, in group C ? I think, none of US ibank will predict this result...

I always wonder how one can predict the future with the database (history) if there's really this kind of thing, can we predict the result of next round of a tennis game ? Can we predict the result of the next round on the gambling table ? that's interesting :P

when I write a c++ program, it's already with real-time response, not much delay, I just wonder how can I write a c++ real-time program ? what I can think of is the delay from IO (say file IO, network IO) or blocking function calls. The point is that it's not language related, I mean, any...

you're right, I forget about it, thanks !!

Is there any good *elementary* books for exotic options ? I just want to know more about this kind of options, especially the basic. At this moment, I need not some advanced topic like pricing. Thanks !

Have one more question in mind, if we really construct the correlation structure. As far as I understand, to put it simple, it relies on historical data to build some statistics. Then, to put it further simple, the VaR is just a statistical value derived from historical data, is it ? If so...

Can you suggest a few books for elementary level and related to the topic I suggest ? Thanks !

Thanks for your reply. It seems that it's more complicated than I expect. When you say “over short time horizons”, what do you mean by “short”, one month can be regarded as short ? When I ask the question, I suppose there is no correlation between these 3 stocks, say they are IBM, HSBC and...

say, my portfolio has 3 stocks, and I want to calculate the VaR of this portfolio with monte carlo what distribution should I use for these 3 stocks ? Thanks

From your point of view, the bottleneck is at the network. That means, to reduce the delay, the knowledge you need is network programming, say some options of TCP/IP, tradeoff between TCP & UDP. I mean, "low latency" is equivalent to the topic of "network programming", right ?

For algo trading jobs, I frequently find the requirement "low latency" I just wonder how low latency can be achieved ? I have done a search in google, I find none discussing it Can any one experienced or professional shares how it is achieved ? Is it by multi-thread ? Is it by code...

1. It seems that I'm completely in the wrong direction. I don't understand what you mean, can you explain more. You can ignore the data provided, and directly explain how to determine the yield after 2yr. I suppose these data are useful, and that's why I provide these data. 2. Well, I think I...

I'm studying bond pricing, I have 2 questions now. Q1 say, the yield for 3yr & 5yr bond are 3% & 5% respectively then, I buy a 5yr bond, that is with yield 5% -------- after 2 years -------------------------------------------------- the yield for 3yr & 5yr bond are 2% & 4% respectively as u...

what's the difference from a sequence of iid ? iid is independent form the past. iid is identical, so the expected value is the same ---------- Post added at 11:15 AM ---------- Previous post was at 11:09 AM ---------- if "the entire history of the evolution" is the "filtration adapted to...

Thank you for you all I haven't been here for more than 2 years, people are still very helpful, and it seems that here has more members to interact. With an equation, you can get the 1st derivative by applying the formula, but it doesn't mean that you have to understand what limit/delta is...

I'm studying stochastic calculus by myself However, after reading many materials, even I have learnt Ito lemma, I still can't master what martingale & filtration are about Can any one explain it ? I hope that the answer will not include any equation, what I need is sth intuitive. For...

I have just tried it out, it works fine, thanks ! \\:D/

actually, there are two problems with doevents 1. it will use up nearly all CPU time, most cases > 90 %, other applications in the same computer will be affected 2. whenever I enter data into the spreadsheet, say enter a value into cell C3, then runtime error '1004', below is a simple code...

yes, I get the data from web, but I don't know how to set the refresh rate, is there any sample ? thanks !

I want to use VBA to refresh data in the spreadsheet periodically. I've tried following codes, it refresh the cell A1 every 2 second. However, within these 2 seconds, I can't use the spreadsheet. Even I have used "DoEvents", it can only catch the action I did in the 2 sec, but it still doesn't...

Hi SteveTownsend, Thanks for your reply. I have got Salih Neftci's book, it's easy to follow. At least, it explains to me what PDE does. I have tried to pick up some books like "introduction to PDE", they all start with some definitions instead of helping me to think about what happens. Thanks !!

It seems that Steve is an important person for Stochastic Calculus. Many stuff is with his name, is he the father of Stochastic Calculus ? For the notes, I have downloaded and printed a hard copy before. Is it the same as the book ? I haven't checked it out. Honestly, I have gone through all...

Oh, thanks ! My pleasure to be here with you all !! :thumbsup:

Oh, I'm not such a smart person, so I have to spend a year with it. No matter go with or without the book, you can spend a day with it if you have time, then you will get it !!

I'm going to learn Stochastic Calculus by myself I would like to see any one can share his/her experience what I want to know/get is any suggested reading ? any suggested notes for download ? what's the difficulty in studying Stochastic Calculus ? any suggestion on studying Stochastic...

btw, I'm not a "Junior Quant Analyst", but it shows "Junior Quant Analyst". Can anyone teach me how to change it to a correct one ? Thanks !!

Hello, everybody I'm a new guy to here !! Really don't know how to start. Anyway, after browsing this site for some time. I find a topic "the pursuit of happyness". So, let's start with it. Actually, I don't know that this movie is related to investment before watching it. Anyway, I just...