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by FinancialAlex
August 8th, 2014, 10:54 am
Forum: Technical Forum
Topic: Portfolio strategies from a risk management perspective
Replies: 0
Views: 3732

Portfolio strategies from a risk management perspective

<t>The study investigates how to obtain a portfolio which would provide above average returns while remaining robust to various risk exposures. Relying on a comprehensive literature survey, it describes main asset allocation methodologies, including factor-based and risk-based strategies. Emphasis i...
by FinancialAlex
June 12th, 2014, 10:39 am
Forum: Numerical Methods Forum
Topic: Numerical methods for local stochastic volatility models
Replies: 2
Views: 4770

Numerical methods for local stochastic volatility models

A new paper on this topic was posted online Paper
by FinancialAlex
June 12th, 2014, 10:38 am
Forum: Technical Forum
Topic: Local stochastic volatility models: calibration and pricing
Replies: 0
Views: 5231

Local stochastic volatility models: calibration and pricing

A new paper on this topic was posted online Paper
by FinancialAlex
June 3rd, 2014, 11:54 am
Forum: Technical Forum
Topic: Robust and Practical Estimation for Measures of Tail Risk
Replies: 0
Views: 4964

Robust and Practical Estimation for Measures of Tail Risk

A new paper was posted on this topic: Paper
by FinancialAlex
February 18th, 2013, 1:14 pm
Forum: Technical Forum
Topic: Quanto adjusted futures curve in Commodities
Replies: 3
Views: 9006

Quanto adjusted futures curve in Commodities

<t>Essentially I want to price Commodity quanto swaps and quanto options through a quanto-adjusted futures curve, rather than through a specialized quanto pricer. And I was wondering if there are any finer points to especially have in mind, based on practical experience of Willmott Technical Forum p...
by FinancialAlex
February 17th, 2013, 4:03 pm
Forum: Technical Forum
Topic: Quanto adjusted futures curve in Commodities
Replies: 3
Views: 9006

Quanto adjusted futures curve in Commodities

<t>While one can do it in a straightforward way, using change-of numeraire technique, I was wondering if there are any finer points that may be missed or not fully accounted, besides items such as Quanto Adjustments in the Presence of Stochastic Volatility (see article by Giese) or Quanto adjustment...
by FinancialAlex
October 14th, 2012, 4:23 pm
Forum: The Quantitative Finance Code Library Project
Topic: Numerics Libraries (Foundations)
Replies: 45
Views: 25341

Numerics Libraries (Foundations)

That Mesher is a very good choice, but it clusters the grid only around a single point. Its extension to clustering around multiple points requires numerically solving ODEs (for single point case we can solve analytically that ODE).
by FinancialAlex
February 2nd, 2012, 8:30 pm
Forum: Technical Forum
Topic: Regularization in daily implied volatility model calibration
Replies: 4
Views: 15265

Regularization in daily implied volatility model calibration

<t>QuoteOriginally posted by: Fermion2. Add a penality function as you suggest but renormalize the parameters so that they are comparable in range magnitude according to how you feel about them (this is equivalent to weighting them but more transparent as to why).Yes, this is a very important point....
by FinancialAlex
January 6th, 2012, 8:56 pm
Forum: Numerical Methods Forum
Topic: Numerical differentiation of a complex function.
Replies: 13
Views: 17064

Numerical differentiation of a complex function.

QuoteDoes it make any difference numerically?Yes, it does. See discussion on CSDA in paper
by FinancialAlex
January 5th, 2012, 10:37 am
Forum: The Quantitative Finance Code Library Project
Topic: The ultimate Monte Carlo framework
Replies: 266
Views: 41369

The ultimate Monte Carlo framework

<t>QuoteDoes anyone have a corresponding PIDE solution for testing against? Two articles which have analytical solutions of PIDEs which were checked against (as far as I remember):Mayo A. Methods for the rapid solution of the pricing PIDEs in exponential and Merton models. J. Comp Appl. Math, Vol 22...
by FinancialAlex
January 5th, 2012, 10:33 am
Forum: The Quantitative Finance Code Library Project
Topic: The ultimate Monte Carlo framework
Replies: 266
Views: 41369

The ultimate Monte Carlo framework

<t>QuoteI quickly ran some of the projects. Some seem to use libs which are not in the projects. How can I resolve this?Daniel, can you specify which libs you are encountering problems with? I have downloaded the zip and build the library using only the files in the zip, and was able to price the As...
by FinancialAlex
January 4th, 2012, 1:18 am
Forum: The Quantitative Finance Code Library Project
Topic: The ultimate Monte Carlo framework
Replies: 266
Views: 41369

The ultimate Monte Carlo framework

<t>Thijs,Please find attached a relatively simple MC framework largely inspired by Mark Joshi's Design Patterns book (in recognition, his name is mentioned in various files). It is definitely a work in progress: for example, Greeks are not yet integrated in the framework. Having a well-thought addit...
by FinancialAlex
December 14th, 2011, 10:50 am
Forum: The Quantitative Finance Code Library Project
Topic: The ultimate Monte Carlo framework
Replies: 266
Views: 41369

The ultimate Monte Carlo framework

<t>QuoteOriginally posted by: outrunIf you want contribute a design like this then please do! One thing we could use to move forward is people who start contributing themselves. Cuch is working on something build around boost::signals, maybe that can be aligned with the Joshia-tree?Nice play of word...
by FinancialAlex
December 10th, 2011, 3:56 pm
Forum: The Quantitative Finance Code Library Project
Topic: The ultimate Monte Carlo framework
Replies: 266
Views: 41369

The ultimate Monte Carlo framework

In my opinion we could also get inspiration from the framework/code laid out in the second edition of Design Patterns book of Mark Joshi for the exotic Monte Carlo engine Here is a class diagram of all the classes in the book
GZIP: On