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by Lapsilago
January 9th, 2017, 1:10 pm
Forum: Numerical Methods Forum
Topic: Cheyette Unstability in PDE
Replies: 38
Views: 3515

Re: Cheyette Unstability in PDE

Hi ferdelo,

is this the model from Back to the Future from Andreasen? 

Which programming language did you use? Could you post the test case (yield curve, detailed outline of the contracts,...)

Do you have an MC of this model up and running for comparison?

Best regards,
Lapsi
by Lapsilago
November 30th, 2016, 8:58 pm
Forum: Book And Research Paper Forum
Topic: Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg
Replies: 244
Views: 145980

Re: Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

Hi, tried the general GSR scheme given in the book in 10.1.6. Checked the integrals carefully and tested against Mathematica. But cannot match the analytical solution... Always gives too high values... Anybody tried it out? Any typo in here?
Best Lapsi
by Lapsilago
October 6th, 2016, 7:25 am
Forum: Technical Forum
Topic: Free Boundary SABR
Replies: 5
Views: 1040

Re: Free Boundary SABR

Hi Wellwn,
no i did not but have a look at Roger Lords site... He did a lot on MC for SABR.
But if you would like I can have look...
Ciao Jörg
by Lapsilago
September 30th, 2016, 1:24 pm
Forum: The Quantitative Finance Code Library Project
Topic: Matlab Financial Engineering Toolkit
Replies: 3
Views: 4961

Re: Matlab Financial Engineering Toolkit

Hi,
you might like to use stuff from
https://de.mathworks.com/matlabcentral/ ... nmodelling

Or we might work together here...

Best, Lapsi
by Lapsilago
September 19th, 2016, 4:52 pm
Forum: Technical Forum
Topic: Free Boundary SABR
Replies: 5
Views: 1040

Re: Free Boundary SABR

Hi Wellwn,

I have implemented the integral solution and a PDE solver for evolving the density starting from a dirac delta using Fokker-Planck. Where are your difficulties...

Best, Lapsi
by Lapsilago
January 14th, 2016, 12:31 pm
Forum: Numerical Methods Forum
Topic: Heston volswap price in Matlab - getting NaN sometimes
Replies: 15
Views: 3904

Heston volswap price in Matlab - getting NaN sometimes

Hi,using log() might do the job... You can do all calculations using logs and finally taking the exp, then, at least in intermediate calculation you reduce the appearance of very large numbers that you have to pass to exp()...Best, Lapsi
by Lapsilago
December 17th, 2015, 10:59 am
Forum: Technical Forum
Topic: SABR approximations - best practice?
Replies: 105
Views: 70576

SABR approximations - best practice?

<t>Dear Alan,what FD solver do you use for the exact solution? Is there a Mathematica file available for that?I wish to compare the Hagan ArbFree Solution from Wilmott magazine with the exact solution and also for the free SABR (approximate solutions, PDE solutions based on Hagan appraoch).Grateful ...
by Lapsilago
December 17th, 2015, 10:49 am
Forum: Numerical Methods Forum
Topic: Free-boundary SABR (Antonov, Konikov, Spector)
Replies: 6
Views: 4997

Free-boundary SABR (Antonov, Konikov, Spector)

<r>You may want to take a look...<URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2647344This"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... 647344This">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2647344This</LINK_TEXT></URL> has implied vol Hagan expansion for fre...
by Lapsilago
December 13th, 2015, 10:21 am
Forum: Technical Forum
Topic: SABR approximations - best practice?
Replies: 105
Views: 70576

SABR approximations - best practice?

The PDE solution is worthwhile to do...This also works for the new free boundary SABR and you can easily adapt it to move the stickyness around by using |F+a|^beta and even place a lower bound on the rates to recover the "knee". Thus, lots of freedom for modelling.Best, Lapsi
by Lapsilago
December 11th, 2015, 11:49 am
Forum: Technical Forum
Topic: Stochastic bridge in combination with stochastic volatility and jumps
Replies: 8
Views: 2828

Stochastic bridge in combination with stochastic volatility and jumps

Hi Church,I think you could use a Brownian Motion in d dimensions with an appropriated subordinator. This might work for multi dimensional modelling. But never tried that...Best Lapsi
by Lapsilago
August 30th, 2015, 7:32 am
Forum: Technical Forum
Topic: Test if correct output on FFT Bates
Replies: 14
Views: 3675

Test if correct output on FFT Bates

Also, thanks so much for mentioning my book! BTW the code can be downloaded on the Mathworks website!There is also a new piece on ZABR model if you like!Best, Lapsi
by Lapsilago
August 30th, 2015, 7:31 am
Forum: Technical Forum
Topic: Test if correct output on FFT Bates
Replies: 14
Views: 3675

Test if correct output on FFT Bates

<t>Hi,the formulas are very similar... If you take the original Carr-Madan paper, they also derive the equation for the puts (when they give their hybrid solution using calls and puts for the calibration). Furthermore, the Carr-Madan method without FFT but with integration can be applied as fast and...
by Lapsilago
January 11th, 2015, 4:42 pm
Forum: General Forum
Topic: Negative Money Market Basis
Replies: 3
Views: 3697

Negative Money Market Basis

Thanks for your reply. I just wanted to grasp the rationale behind some options on the spread I have seen in the market.These options obviously only pay out if the basis gets negative. Thus, I wonder if there are any issues that can aries to send the basis to negative values for some time...
by Lapsilago
January 3rd, 2015, 5:59 pm
Forum: General Forum
Topic: Negative Money Market Basis
Replies: 3
Views: 3697

Negative Money Market Basis

<t>Dear all,since august 2007 the money market basis is signigicant and it was occasionally negative. I denote nYxsys the xM against yM basis swap spread for a nY swap, eg. 1Y1s3s.I know that the nY money market basis could be negative after the fixing has happened and then the yield curve changes s...
by Lapsilago
December 31st, 2014, 12:35 pm
Forum: Technical Forum
Topic: Simulation of SABR/LMM a la Rebonato
Replies: 5
Views: 5097

Simulation of SABR/LMM a la Rebonato

Hi Joerg,I remember that there is also an issue with the correlation and an advanced scheme (QE) in the Heston model.I have to look this up. Can you send me your email address as private message. Then, we can use emails to discuss and must not spam the forum.Best regards,Jörg
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