Bsc dissertation topics

[Quantinator]

here's the exact solution to get your choppers into

http://www.ase.ro/upcpr/profesori/167/schroder.pdf

Really good link, mate.

Apparently approximating the noncentral chi-square distribution is really difficult.

Do you have any good papers for using monte carlo in CEV and binomial in CEV?
Thanks./

 

[Daniel Duffy]

Really good link, mate.

Apparently approximating the noncentral chi-square distribution is really difficult.

[..]
Thanks./

Au contraire, Boost C++ has it.

http://beta.boost.org/doc/libs/1_56...olkit/dist_ref/dists/nc_chi_squared_dist.html

http://belkcollegeofbusiness.uncc.edu/buttimer/ECON 6090/Nelson Ramaswamy.pdf

 

[Quantinator]

Au contraire, Boost C++ has it.

http://beta.boost.org/doc/libs/1_56...olkit/dist_ref/dists/nc_chi_squared_dist.html

Thanks for the link,

 

[Quantinator]

Au contraire, Boost C++ has it.

http://beta.boost.org/doc/libs/1_56...olkit/dist_ref/dists/nc_chi_squared_dist.html

http://belkcollegeofbusiness.uncc.edu/buttimer/ECON 6090/Nelson Ramaswamy.pdf

Just like that link for binomial, do you have a link or recommend a link something similar for monte carlo method also please? Looks really useful
Lastly is do you have a link or recommend a link that outlines all the pros and cons for using cev compared to other sound models which are better than BS i,e heston etc...
Thaks for your help.

 

[Daniel Duffy]

I wrote a book on Monte Carlo with Joerg Kienitz and we do CEV.

See also
http://www.wilmott.com/messageview.cfm?catid=34&threadid=64672&FTVAR_MSGDBTABLE=

 

[Quantinator]

I wrote a book on Monte Carlo with Joerg Kienitz and we do CEV.

See also
http://www.wilmott.com/messageview.cfm?catid=34&threadid=64672&FTVAR_MSGDBTABLE=

Oh thats interesting. I will look into that.
So it covers monte carlo in cev?
Does it cover cev on its own?
Thanks