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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

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 !

"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 !

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...

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

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 .

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...

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...

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 :)

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...

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 !

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

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...

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...

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 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...

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...

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...