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by haslipg
August 2nd, 2019, 5:26 pm
Forum: Numerical Methods Forum
Topic: Explicit Formula for computing IV
Replies: 15
Views: 12408

Re: Explicit Formula for computing IV

I used found this method very reliable https://www.ssrn.com/abstract=2908494
by haslipg
October 16th, 2018, 12:24 pm
Forum: Programming and Software Forum
Topic: Version-controlling Excel workbooks with Git?
Replies: 6
Views: 5609

Re: Version-controlling Excel workbooks with Git?

It is not really open source though - the dll file xltrail-core.dll does not have source code in the repo.
by haslipg
December 24th, 2014, 10:33 am
Forum: Programming and Software Forum
Topic: FPGA
Replies: 5
Views: 5191

FPGA

<r>This looks quite promising <URL url="http://www.altera.com/support/examples/opencl/black-scholes.html"><LINK_TEXT text="http://www.altera.com/support/examples/ ... holes.html">http://www.altera.com/support/examples/opencl/black-scholes.html</LINK_TEXT></URL> with technical document <URL url="http...
by haslipg
November 29th, 2014, 11:07 pm
Forum: Programming and Software Forum
Topic: FPGA
Replies: 5
Views: 5191

FPGA

<t>Hi,Does anyone have experience with FPGA's in finance, and could advise on a sensible starting point in terms of kit, software, and relevant reading to try implementing option pricing algorithms and related problems?I've seen there are high level programming abstractions such as OpenCL which migh...
by haslipg
July 11th, 2013, 2:06 pm
Forum: Book And Research Paper Forum
Topic: Fourier Transform B-spline Method for Option Pricing
Replies: 0
Views: 8271

Fourier Transform B-spline Method for Option Pricing

<r>Hi,This paper might be of interest to quants who are interested in fast methods of pricing European options (mainly for the purpose of risk-neutral calibration). It is essentially based upon an efficient way of inverting the Fourier transform through a novel use of B-spline interpolation theory.A...