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by SemiMartingale
August 6th, 2008, 11:53 am
Forum: Student Forum
Topic: Can I treat bonds as put options?
Replies: 7
Views: 51122

Can I treat bonds as put options?

I don't know if it is what your refer to, but for sufficient low values of K, you have the following approximation:Put(T,K) = K * (D(0,T) - B(0,T)) where D(0,T) is the discount factor.
by SemiMartingale
July 18th, 2008, 6:42 am
Forum: Numerical Methods Forum
Topic: Maximum spot value PDE
Replies: 4
Views: 51753

Maximum spot value PDE

ok, thanks.
by SemiMartingale
July 15th, 2008, 7:32 am
Forum: Numerical Methods Forum
Topic: Maximum spot value PDE
Replies: 4
Views: 51753

Maximum spot value PDE

Smax is the numerical cutoff for spot values in my PDE
by SemiMartingale
July 11th, 2008, 8:28 am
Forum: Numerical Methods Forum
Topic: Richardson extrapolation -- Newbie question
Replies: 3
Views: 52690

Richardson extrapolation -- Newbie question

<r>You can also get this paper:<URL url="http://www.math.ubc.ca/~feldman/m256/richard.pdfIt">http://www.math.ubc.ca/~feldman/m256/richard.pdfIt</URL> is well explained. You can use richardson extrapolation with space step or time step. As long as your solution depends on a step, you can use richards...
by SemiMartingale
July 11th, 2008, 8:22 am
Forum: Numerical Methods Forum
Topic: Maximum spot value PDE
Replies: 4
Views: 51753

Maximum spot value PDE

<t>I have a jump to default model with a default intensity lambda and a volatility sigma:lambda = a * (S0 / S)^p sigma = b where p, a and b are constant parameters and p > 0.I need to price (with a PDE here) a defaultable call with a strike equal to the forward, however I have no closed form for thi...
by SemiMartingale
July 9th, 2008, 3:31 pm
Forum: Book And Research Paper Forum
Topic: finite element solution
Replies: 10
Views: 53019

finite element solution

I meant to increase accuracy for the LM method and the Richardson extrapolation.
by SemiMartingale
July 9th, 2008, 3:30 pm
Forum: Book And Research Paper Forum
Topic: finite element solution
Replies: 10
Views: 53019

finite element solution

<t>So the idea is to use a fully implicit scheme (for all time steps) to get L0-stable and then to use second order approximation (LM method) in time and richardson extrapolation to get stable. That's it ?As my initial condition is a dirac , could it be a solution to simply smooth it ? I have seen a...
by SemiMartingale
July 8th, 2008, 1:43 pm
Forum: Book And Research Paper Forum
Topic: finite element solution
Replies: 10
Views: 53019

finite element solution

sorry for the spam, I got a problem with my browser ...
by SemiMartingale
July 8th, 2008, 1:38 pm
Forum: Book And Research Paper Forum
Topic: finite element solution
Replies: 10
Views: 53019

finite element solution

<r>Here is the web page to get the file:<URL url="http://people.maths.ox.ac.uk/~gilesm/finance.htmlThe">http://people.maths.ox.ac.uk/~gilesm/finance.htmlThe</URL> name of the article is: M.B. Giles and R. Carter. `Convergence analysis of Crank-Nicolson and Rannacher time-marching', Report NA-05/16, ...
by SemiMartingale
July 8th, 2008, 1:37 pm
Forum: Book And Research Paper Forum
Topic: finite element solution
Replies: 10
Views: 53019

finite element solution

<r>Here is the web page to get the file:<URL url="http://people.maths.ox.ac.uk/~gilesm/finance.htmlThe">http://people.maths.ox.ac.uk/~gilesm/finance.htmlThe</URL> name of the article is: M.B. Giles and R. Carter. `Convergence analysis of Crank-Nicolson and Rannacher time-marching', Report NA-05/16, ...
by SemiMartingale
July 8th, 2008, 1:36 pm
Forum: Book And Research Paper Forum
Topic: finite element solution
Replies: 10
Views: 53019

finite element solution

<r>Here is the web page to get the file:<URL url="http://people.maths.ox.ac.uk/~gilesm/finance.htmlThe">http://people.maths.ox.ac.uk/~gilesm/finance.htmlThe</URL> name of the article is: M.B. Giles and R. Carter. `Convergence analysis of Crank-Nicolson and Rannacher time-marching', Report NA-05/16, ...
by SemiMartingale
July 7th, 2008, 5:25 pm
Forum: Book And Research Paper Forum
Topic: finite element solution
Replies: 10
Views: 53019

finite element solution

thank you very much for your answer . In fact, I found another paper on the subject and I used a Rannacher technique 1/4. It works quite well. If I still have troubles, I will move to your solution.
by SemiMartingale
July 4th, 2008, 4:50 pm
Forum: Book And Research Paper Forum
Topic: finite element solution
Replies: 10
Views: 53019

finite element solution

Does someone has a copy of this article please ? :"Finite element solution of diffusion problems with irregular data" from R. Rannacher.It is not on Rannacher's homepage and I didn't find it for free on the web.
by SemiMartingale
June 30th, 2008, 7:46 am
Forum: Numerical Methods Forum
Topic: calibration and implementation of convertible bond models
Replies: 3
Views: 53747

calibration and implementation of convertible bond models

<t>In fact, for the simple case where p = 0 and "Test Case A" I found a "naive price" for the corresponding convertible bond equal to 96.15 instead of 96.6. In fact, I have also tested this case with a professional pricer and I also don't find this price of 96.6. Anyone has tried to reproduce these ...
by SemiMartingale
June 30th, 2008, 7:13 am
Forum: Numerical Methods Forum
Topic: calibration and implementation of convertible bond models
Replies: 3
Views: 53747

calibration and implementation of convertible bond models

page 17 of the article "Calibration and Implementation of Convertible Bond Models" from Leif Andersen and Dan Buffum
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