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by asd
February 7th, 2011, 6:44 pm
Forum: Technical Forum
Topic: Matlab - Co-integration test on 'Very Large' Files
Replies: 11
Views: 34105

Matlab - Co-integration test on 'Very Large' Files

Another option might be to dump the data into a MySQL database. Intersecting data, filtering, etc. will be faster
by asd
October 29th, 2010, 7:21 pm
Forum: Student Forum
Topic: Option pricing
Replies: 1
Views: 23230

Option pricing

Glasserman's book is dedicated to MC simulations, and has a full chapter on calculating greeks.
by asd
October 9th, 2009, 1:57 am
Forum: Programming and Software Forum
Topic: Architecture for a live data feed provider
Replies: 4
Views: 35192

Architecture for a live data feed provider

<t>Can someone please give example of a typical architecture employed by a trading application to display live data feed to its clients?eg., assuming the company name of the trading application is X, is this architecture possible?1. X subscribes to Bloomberg using data feed API. There is a windows s...
by asd
October 6th, 2009, 2:30 am
Forum: Careers Forum
Topic: What questions should an interviewee ask in the end?
Replies: 9
Views: 36743

What questions should an interviewee ask in the end?

At the end of an interview, what should the interviewee ask the interviewer if he tells him to ask questions?Any examples or tips will be appreciated. (eg., can it have negative impact if I don't ask - I don't want to get into risk if my question triggers him to ask me more questions)Regards
by asd
October 2nd, 2009, 2:07 pm
Forum: Programming and Software Forum
Topic: Who creates a High frequency finance software?
Replies: 3
Views: 35315

Who creates a High frequency finance software?

<t>I am curious who creates software for high frequency trading or analysis.Is it any/all of the following:1.Independent IT software firm with knowledge of financial markets2.Broker-dealer3.hedge fund4.Trading firm5.Buy or Sell side firmor some others?Can someone please advice? I will appreciate if ...
by asd
October 1st, 2009, 5:32 pm
Forum: Programming and Software Forum
Topic: Sockets for connecting Windows and UNIX boxes
Replies: 8
Views: 36175

Sockets for connecting Windows and UNIX boxes

<t>Can someone please tell how can a Windows client application be connected to a UNIX or Linux server process (eg., to send market data from UNIX server process to a Visual C++ GUI application on Windows)? What is typical technology involved?Is there any special care and things to keep in mind to b...
by asd
September 17th, 2009, 4:52 am
Forum: Numerical Methods Forum
Topic: American Asian Option
Replies: 12
Views: 39340

American Asian Option

I am also not able to reproduce the results perfectly, but they match within around 0.1.eg., I get value of American option price of 8.57 for S=100 and A=100, while value mentioned in table 3 of the paper is 8.658. (my code is here)
by asd
September 3rd, 2009, 2:14 am
Forum: Student Forum
Topic: Best place to learn - I'll buy you lunch!
Replies: 6
Views: 35839

Best place to learn - I'll buy you lunch!

<t>I would start with buying 2 books that are the standard or universal books which almost every Quant has - 1. Wilmott's "Quantitative Finance"2. Hulls "Option Futures and Derivatives"These are good for beginners, as well as remain excellent resources for future reference. There are lots of free re...
by asd
August 31st, 2009, 7:53 pm
Forum: Student Forum
Topic: control variates in MC
Replies: 3
Views: 35426

control variates in MC

It is better to calculate b using a different sample, but doesn't make much of a difference.This is explained in good detail in Glasserman's book in last paragraph of page 200.
by asd
August 21st, 2009, 7:20 pm
Forum: Student Forum
Topic: Kalman Filter for parameter estimation:how to maximize the liklihood function
Replies: 2
Views: 37280

Kalman Filter for parameter estimation:how to maximize the liklihood function

it is not multifactor vaiscek, but there is a link to estimate single factor vasicek model herehope i could help EDIT : in case you have not come across it, the paper "Affine Term-Structure Models: Theory and Implementation" by David Jamieson Bolder has a very nice explanation
by asd
July 28th, 2009, 2:22 am
Forum: Student Forum
Topic: help me!!!Cox, IngersoU. and Ross model
Replies: 2
Views: 36829

help me!!!Cox, IngersoU. and Ross model

some of the links to do CIR bond option pricing are : VBA for 2 Factor CIR model, bond option in CIR, cir using ricattihope it helps
by asd
July 23rd, 2009, 7:22 pm
Forum: Student Forum
Topic: High frequency finance for a common man
Replies: 2
Views: 37448

High frequency finance for a common man

<t>I have been reading about high frequency finance, but struggling to put all pieces together. I am sorry for asking these basic questions:1.Is it possible to apply high frequency finance models for personal trading account? If yes, what models can be employed ? (eg., can Engle's ACD model be used?...
by asd
July 20th, 2009, 2:16 am
Forum: Student Forum
Topic: Hull-White MC Swap Pricer
Replies: 2
Views: 37351

Hull-White MC Swap Pricer

I would compare my swap price values to values generated by standard software like Quantlib using same input parameters to narrow down the problem. Hope I could help. Edit : There is also a simple spreadhseet which calculates swaption price in Hull white using monte carlo here
by asd
June 14th, 2009, 9:32 pm
Forum: Numerical Methods Forum
Topic: fast fourier transform paper error
Replies: 1
Views: 38685

fast fourier transform paper error

yes, I remember results do not match without correcting the typo.
by asd
June 12th, 2009, 5:18 am
Forum: Numerical Methods Forum
Topic: Vector AR model
Replies: 7
Views: 40675

Vector AR model

If you know OLS , you can easily do OLS in a loop for each eqn. eg., here is a simple demo: VAR in ExcelHope it helps
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