SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 6 matches

by jherekhealy
July 21st, 2019, 10:13 pm
Forum: Numerical Methods Forum
Topic: Smoothing splines (clamped spline)
Replies: 27
Views: 1354

Re: Smoothing splines (clamped spline)

Yes, the BFIT routine of de Boor will do what you're after. FYI, this is part of the NSWC Fortran library https://raw.githubusercontent.com/jacob ... src/nswc.f
by jherekhealy
January 8th, 2019, 8:36 pm
Forum: Book And Research Paper Forum
Topic: Best Options Books Today
Replies: 2
Views: 881

Re: Best Options Books Today

I can recommend my book ;), "Applied Quantitative Finance for Equity Derivatives", which you can find in hardback on Lulu or in paperback on Amazon, see this thread.
by jherekhealy
January 3rd, 2019, 3:21 pm
Forum: Book And Research Paper Forum
Topic: New book "Applied Quantitative Finance for Equity Derivatives"
Replies: 4
Views: 1182

Re: New book "Applied Quantitative Finance for Equity Derivatives"

For 2019, I have published a new edition of my book, in hardback on Lulu or in paperback on Amazon.

This second edition adds new arbitrage-free implied volatility interpolations, and covers various warrants, such as CBBCs. The text has also been slightly updated.
by jherekhealy
May 28th, 2018, 6:57 pm
Forum: Book And Research Paper Forum
Topic: Digital format book for math, still and issue?
Replies: 11
Views: 745

Re: Digital format book for math, still and issue?

Kindle is bad, but PDF is good as digital format.

Wouldn't python notebooks (jupyter) be more appropriate than wolfram cdf? Python notebooks are very common in the scientific community and do not rely on proprietary software.
by jherekhealy
May 19th, 2018, 6:05 pm
Forum: Book And Research Paper Forum
Topic: New book "Applied Quantitative Finance for Equity Derivatives"
Replies: 4
Views: 1182

New book "Applied Quantitative Finance for Equity Derivatives"

This is a small ad for my new book "Applied Quantitative Finance for Equity Derivatives", which you can find on amazon . I think it is relevant to other people looking at wilmott, since the book presents the most significant equity derivatives models used these days. It is not a book around esoteric...
by jherekhealy
March 30th, 2018, 11:43 am
Forum: Technical Forum
Topic: CMS Convexity challenge
Replies: 0
Views: 431

CMS Convexity challenge

I am trying to reproduce the numbers of the paper " Smiling at convexity: bridging swaption skews and CMS adjustments " by Mercurio and Pallavicini, in the simple case (Black), but I don't manage to. I tried the 10y tenor. I consider quarterly payments for both legs of the CMS swap (delta=0.25) and ...
GZIP: On