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  1. Combining time series - arithmetic, geometric or logarithmic mean

    My question regards combining several time series into just one series. I have four commodity time series (monthly nominal returns of ags, precious, industrials and energy) and want to combine these (equally weighted) into just one commodity time series. What is the best way of doing this...

  2. Basic questions regarding option pricing with FDM

    When calculating the option prices with the use of finite difference methods you approximate the derivatives in the Black & Scholes PDE. Where do you get the option prices used in these approximations? I mean, we are supposed to calculate the option price, and at the same time you need...

  3. Local volatility by most likely path calibration

    I need help with calculating local volatility by most likely path calibration. In this ( http://www.algorithmica.se/research/Masters%20Thesis%20-%20Calibration%20of%20the%20Volatility%20surface.pdf ) paper (page 17) it says that I have to find the most likely path before I calculate the new...

  4. Quants partly responsible for the crisis?

    I found an interesting article by Nassim Nicholas Taleb and Pablo Triana the other day, where they accuses the quants for being partly for the financial crisis we now face. http://www.ft.com/cms/s/0/4f86d422-c48f-11dd-8124-000077b07658.html?nclick_check=1 By Nassim Nicholas Taleb and Pablo...
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