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by quantman
October 17th, 2010, 12:57 pm
Forum: Numerical Methods Forum
Topic: Language-independent algorithm description language
Replies: 13
Views: 26193

Language-independent algorithm description language

quantmeh can you kindly provide a link to DSL for numerical analysis algorithms? Thanks.
by quantman
September 25th, 2009, 6:06 pm
Forum: Technical Forum
Topic: Question for SABR model users in fixed income
Replies: 24
Views: 43563

Question for SABR model users in fixed income

As far as I know Alan, most banks use SABR as an interpolation / extrapolation tool for the volatility cube rather than a proper model to explain interest rates dynamics.Regards.
by quantman
February 7th, 2009, 12:11 pm
Forum: Technical Forum
Topic: IVolatility.com vs Optionmetrics vs Bloomberg
Replies: 11
Views: 57592

IVolatility.com vs Optionmetrics vs Bloomberg

PM me eribold. I think I can help you.Regards.
by quantman
September 5th, 2008, 10:59 pm
Forum: Book And Research Paper Forum
Topic: New Books - 4 Vols. Market Risk Analysis: Quantitative Methods in Finance - Value-at-Risk Models by Carol Alexander
Replies: 189
Views: 90154

New Books - 4 Vols. Market Risk Analysis: Quantitative Methods in Finance - Value-at-Risk Models by Carol Alexander

<t>Congratulations on your work Carol,I received the three volumes, it's simply amazing to have combined all those subjects without sacrifying all necessary mathematicals details and practical focus. The five year commitment on your side is really worthwhile for your readers."Chapeau bas".Regards. <...
by quantman
August 22nd, 2008, 12:48 pm
Forum: Technical Forum
Topic: upper bounds for callable derivatives
Replies: 8
Views: 103922

upper bounds for callable derivatives

I will look your papers Mark and I'll give you my feedback and comments.Regards.
by quantman
October 14th, 2007, 11:45 am
Forum: Technical Forum
Topic: Caps and Swaptions Data.
Replies: 20
Views: 74839

Caps and Swaptions Data.

PM me Hazim, I might be able to send you skew data on EUR & USD for swaptions & caps.Regards.
by quantman
October 14th, 2007, 11:44 am
Forum: Technical Forum
Topic: Caps and Swaptions Data.
Replies: 20
Views: 74839

Caps and Swaptions Data.

PM me Hazim, I might be able to send you skew data on EUR & USD for swaptions & caps.Regards.
by quantman
August 4th, 2007, 7:35 pm
Forum: Technical Forum
Topic: Swaption on CDX
Replies: 4
Views: 78385

Swaption on CDX

pm me I'll send you some IB documents.Regards.
by quantman
July 3rd, 2007, 8:43 pm
Forum: Programming and Software Forum
Topic: Missing QuantLib Library file
Replies: 2
Views: 69760

Missing QuantLib Library file

Hello,Have you installed Boost before running Quantlib ? Did you build the library ? Quantlib is not ready to use after you download the latest release from the sourceforge page, it needs some setup (Boost + building the library).Regards.
by quantman
March 26th, 2007, 8:04 pm
Forum: Technical Forum
Topic: Fixing missing quotes with Eigenvectors
Replies: 3
Views: 76047

Fixing missing quotes with Eigenvectors

Try the ECM algorithm (ECM algorithm of Meng and Rubin with enhancements by Sexton and Swensen where ECM stands for Expectation Conditional Maximization).
by quantman
February 2nd, 2007, 8:45 pm
Forum: Technical Forum
Topic: Heston Calibration
Replies: 10
Views: 85076

Heston Calibration

<t>Alternatively, if you want to take into account the bid ask spread, you can use the mid-price of the option but accept a parameter set, where bid /ask are the bid/ask prices quoted on the market. This means that you will not require the model to match the mid exactly, but fall, on average, within...
by quantman
January 2nd, 2007, 12:23 pm
Forum: Book And Research Paper Forum
Topic: Justin London's New Book
Replies: 76
Views: 130745

Justin London's New Book

This Justin London is a joke and so is its C++ book !!
by quantman
December 18th, 2006, 10:23 pm
Forum: Student Forum
Topic: CDO pricing...inputs needed
Replies: 7
Views: 98042

CDO pricing...inputs needed

by quantman
December 13th, 2006, 9:10 pm
Forum: Technical Forum
Topic: approximate price of variance swap from implied vols
Replies: 13
Views: 94384

approximate price of variance swap from implied vols

Hello,by popular demand, here's the JPM pdf file on variance swap.Enjoy !
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