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by berndL
May 23rd, 2019, 6:24 pm
Forum: Programming and Software Forum
Topic: Python tricks
Replies: 230
Views: 24638

Re: Python tricks

I am looking for books on Numpy and Scipy, with focus on the numerical algorithms and background. I am not interested in having to wade in syntax before getting to these topics. Any suggestions? Thx!  Not a book but maybe also interesting if you look at numpy. Take a look at cupy. Lets you run the ...
by berndL
February 3rd, 2019, 9:46 am
Forum: Programming and Software Forum
Topic: UVM and financial software packages
Replies: 12
Views: 1284

Re: UVM and financial software packages

There's not much original research from universities in this area it would seem. Why? It presupposes some mathematical sophistication e.g. nonlinear analysis/PDE /ODE etc. Inertia, maybe. Research groups (in general..) in universities tend not to venture outside their 'research silos' An exception ...
by berndL
February 3rd, 2019, 9:23 am
Forum: Programming and Software Forum
Topic: UVM and financial software packages
Replies: 12
Views: 1284

Re: UVM and financial software packages

There's not much original research from universities in this area it would seem. Why? It presupposes some mathematical sophistication e.g. nonlinear analysis/PDE /ODE etc. Inertia, maybe. Research groups (in general..) in universities tend not to venture outside their 'research silos' An exception ...
by berndL
January 31st, 2019, 4:10 pm
Forum: Programming and Software Forum
Topic: UVM and financial software packages
Replies: 12
Views: 1284

UVM and financial software packages

Are there any commercial or public domain packages shipping the UVM Model (Uncertain Volatility model). So far i havent seen one. I wonder if this is a sign of unpopularity. Or just verndors think there is no buisiness case for this model as project leaders dont like the relative complexity of the m...
by berndL
January 25th, 2019, 1:32 pm
Forum: Programming and Software Forum
Topic: Quantlib design and usage
Replies: 24
Views: 2831

Re: Quantlib design and usage

berndl, is there a site for 'Available QL "consultants"? Hi Daniel, https://www.quantlib.org/mailinglists.shtml shows a mailing list for "QuantLib-jobs". Goes in both directions (supply, demand). You know of course the ORE guys?! And some well known consultency firms offer also support. But only if...
by berndL
January 24th, 2019, 11:23 am
Forum: Programming and Software Forum
Topic: Quantlib design and usage
Replies: 24
Views: 2831

Re: Quantlib design and usage

I have had to turn my attention towards quantlib lately, in view of using it as a base for a system in a buy-side context, that is able to handle both valuation, risk, pnl as well as research in time series and scenario context. One important question I am trying to answer for myself, is how I shou...
by berndL
October 25th, 2018, 2:53 pm
Forum: Technical Forum
Topic: Liquidation of multi-asset portfolios
Replies: 14
Views: 845

Re: Liquidation of multi-asset portfolios

Yes. For a good book you might find Oksendal Stochastic Differential Equations a nice introduction to stochastic control. BtW. Isnt this a good example for using dl/ml? An agent has to offload a portfolio under certain constraints. What is the optimal policy. Looks like there should be some known c...
by berndL
September 10th, 2018, 9:13 pm
Forum: Numerical Methods Forum
Topic: Who understands Black Scholes Boundary Conditions, really
Replies: 183
Views: 185318

Re: Who understands Black Scholes Boundary Conditions, really

There was already a discussion on BCs for convertible bonds PDE. Interest rates can become negative. We transform r to interval (-1,1). The 64 dollar Question is what BC (if any) to specify on y = -1. @berndl @bearish Hi Cuchulainn, Maybe its too mathematical and too far away from modelling asset r...
by berndL
September 10th, 2018, 8:49 pm
Forum: Technical Forum
Topic: If you are bored with Deep Networks
Replies: 476
Views: 25466

Re: If you are bored with Deep Networks

Over 10% of it is dog photos, and less than half of that is cats. While everyone knows that most of Internet is cat pics!
Great statistics. I didnt knew this. But seems people like cats more than dogs. Sorry  for beeing off topic though.
by berndL
July 25th, 2018, 12:39 pm
Forum: General Forum
Topic: Value at Risk
Replies: 5
Views: 1079

Re: Value at Risk

The usual Assumption is daily returns are independent. The normal assumption comes then from the central limit theorem. Also i think you need some dependence assumption for proving the resulting VaR Measure is in fact coherent. Of course there are simple Examples, where the Var will not be coherent....
by berndL
March 27th, 2018, 2:50 pm
Forum: Technical Forum
Topic: Shifted log normal short rate model vs hull white short rate model
Replies: 31
Views: 3028

Re: Shifted log normal short rate model vs hull white short rate model

Berndl, A few "thinking out loud" questions: I realised that I had a PDE model for HW1 by transforming the real line (positive, negative short rate) to (-1,1). The PDE is fine and  I hide the pesky reaction term by using [$]P = Pnew \exp(-rt)[$]. AFAIR the values were OK but will check. The transfo...
by berndL
March 19th, 2018, 12:02 pm
Forum: Technical Forum
Topic: Shifted log normal short rate model vs hull white short rate model
Replies: 31
Views: 3028

Re: Shifted log normal short rate model vs hull white short rate model

Lots of noise here. My comments was directed at the first attachment where you claim to truncate the domains for r and u at 0, and setting the corresponding bond prices P1 and P2 equal to 1. That is entirely inconsistent with a Gaussian interest rate model. I see. So you are saying the PDE should b...
by berndL
March 19th, 2018, 9:53 am
Forum: Technical Forum
Topic: Shifted log normal short rate model vs hull white short rate model
Replies: 31
Views: 3028

Re: Shifted log normal short rate model vs hull white short rate model

Are these the same terms as in the pdf? One of my quant students solved the Bermudan PDE using about 4 different FD methods in about 2 months before he heads off for UCB (PDE savvy mandatory to get in). I did a few FDM as well for comparison. The schemes are super fast. Next is to compute sensitivi...
by berndL
March 19th, 2018, 9:26 am
Forum: Technical Forum
Topic: Shifted log normal short rate model vs hull white short rate model
Replies: 31
Views: 3028

Re: Shifted log normal short rate model vs hull white short rate model

Are these the same terms as in the pdf? One of my quant students solved the Bermudan PDE using about 4 different FD methods in about 2 months before he heads off for UCB (PDE savvy mandatory to get in). I did a few FDM as well for comparison. The schemes are super fast. Next is to compute sensitivi...
by berndL
March 14th, 2018, 9:09 am
Forum: Technical Forum
Topic: Shifted log normal short rate model vs hull white short rate model
Replies: 31
Views: 3028

Re: Shifted log normal short rate model vs hull white short rate model

Sorry, yes! It's Monday. So, you can use the closed to check the numerical solution; what about vice versa? e.g. is there a closed solution for a  Bermudan HW2 (Hull-White 2 factor) bond? Problem with NR is that the guess must be 'close' to the real solution. Is it so that some quants eschew PDE/FD...
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