stochastic modelling

  1. A

    Delta hedging with stochastic volatility.

    In my thesis I want to work with delta hedging with stochastic volatility using Black-Scholes model. How will you suggest I implement numerical solutions using data from the real world? Beside Monte Carlo, which numerical solutions will be useful.
  2. A

    Anybody know where I can take Stochastic course online?

    Hi guys! I need some help find an online course! I've been admitted to Cornell MFE, But I need to complete a prereq course: ORIE 3510 - Introduction to Engineering Stochastic Processes I Uses basic concepts and techniques of random processes to construct models for a variety of problems of...
  3. A

    School project about Black Scholes with stochastic volatility

    In a university project I am looking at Black Scholes model with a stochastic volatility. I’m still not quite sure about my focus (I am in the beginning 'Idea phase'). I want to explain the theory behind stochastic differential equation and then implement some numerical methods too solve pricing...
  4. A

    Bachelor project in quantitive finance

    Hi everyone. I’m about to write a bachelor project which is 15 european ECTS point (half of a semester’s workload). I’m at the very beginning of the project and haven’t chosen a topic yet. I will like the project to be about quantitative/mathematical finance. I really want to work with some...
  5. The Spartan Guy

    Mathematics vs. Programming! Can I choose one over the other

    I am graduating with Ph.D. in Computer Engineering, in Singapore, want a quant job. Somewhat ironically, even though my degree is in computer engineering, I am more interested in the economics and core mathematics side of the job rather than the coding side. (But I have decent coding skill in...
  6. Mitor

    ALM modeling

    Hello I would like to have some guide in the literature of ALM modelling. Currently I have used a one factor CIR to model interest rate for Economic Capital. For what I understand, in order to upgrade this model such that we can possible have a tilt movement for the IR a two factor model like...