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by trc
May 20th, 2002, 7:01 am
Forum: Technical Forum
Topic: Quasi Monte Carlo and low discrepancy sequences
Replies: 8
Views: 190327

Quasi Monte Carlo and low discrepancy sequences

<t>I agree with the characterization of the Libor market model as a parameterization. This applies to most models in finance.The good thing is that there are natural parameters (volatilities, covariances). This is significantly nicer than other interest rate models.However I believe that there is so...
by trc
May 20th, 2002, 6:23 am
Forum: Technical Forum
Topic: Option Hedging
Replies: 26
Views: 192700

Option Hedging

<t>Thanks for all replies.It is true that I will have to read somehing on market microstructure and option book running.If option market makers are bookies who try to lay off bets how precise is this process?What sort of mathematics if any is applied?What sort of help would you want to get out of a ...
by trc
May 16th, 2002, 2:03 am
Forum: Technical Forum
Topic: Option Hedging
Replies: 26
Views: 192700

Option Hedging

<t>Greetings.I would like to start a new thread concerning the gains from selling and hedging options.My interest in this came about as follows:I ran simulations studying the profit and loss from a delta hedge of vanilla European calls.The hedge reacts to price changes in the underlying and a rebala...
by trc
May 15th, 2002, 7:28 pm
Forum: Technical Forum
Topic: Quasi Monte Carlo and low discrepancy sequences
Replies: 8
Views: 190327

Quasi Monte Carlo and low discrepancy sequences

<t>Aaron,Why do you feel that there is no good interest rate theory?Are you saying that the theory of the Libor process (Brace, Musiela, Gatarek, Jamshidian) is no good?Why do you feel that interest rate derivatives must deal with hundreds of interest rates?I was under the impression that such deriv...
by trc
May 15th, 2002, 7:12 pm
Forum: Numerical Methods Forum
Topic: Quasi Monte Carlo : On Dimensionality
Replies: 42
Views: 178600

Quasi Monte Carlo : On Dimensionality

<r>Ladies and Gentlemen,Please visit <URL url="http://martingale.berlios.de/Martingale.html,where">http://martingale.berlios.de/Martingale.html,where</URL> you can find my open source Java library devoted to Monte Carlo simulation in financefree for download. It contains a Quasi Monte Carlo package....
by trc
May 15th, 2002, 6:59 pm
Forum: Technical Forum
Topic: Quasi Monte Carlo and low discrepancy sequences
Replies: 8
Views: 190327

Quasi Monte Carlo and low discrepancy sequences

<r>Ladies and Gentlemen,I have been working tirelessly and unselfishly for your greater good.Please visit <URL url="http://martingale.berlios.de/Martingale.htmlwhere">http://martingale.berlios.de/Martingale.htmlwhere</URL> you can find my open source java library devoted to Monte Carlo simulation wh...
by trc
April 26th, 2002, 4:20 pm
Forum: Numerical Methods Forum
Topic: Quasi Monte Carlo : On Dimensionality
Replies: 42
Views: 178600

Quasi Monte Carlo : On Dimensionality

<t>Dostojewski,Thank you very much for your offer. Please let me take you up on it later when I need the best possible Sobol generator.For now I was able to resolve the problem. I made a programming mistake which destroyed the whole integrity of the algorithm.The sequence which I had was not a Sobol...
by trc
April 25th, 2002, 7:49 am
Forum: Numerical Methods Forum
Topic: Quasi Monte Carlo : On Dimensionality
Replies: 42
Views: 178600

Quasi Monte Carlo : On Dimensionality

Congratulations Dostojewski,I suspect a problem with my Sobol generator too.Quite possibly I made a mistake implementing the generator.I will check everything thoroughly.Are you an expert on the subject?
by trc
April 24th, 2002, 11:25 pm
Forum: Numerical Methods Forum
Topic: Quasi Monte Carlo : On Dimensionality
Replies: 42
Views: 178600

Quasi Monte Carlo : On Dimensionality

<r>PJ,If you are still there could you please take a look at my message directed to you on the thread about your bookand respond to me at <EMAIL email="spyqqqdia@yahoo.com">spyqqqdia@yahoo.com</EMAIL> at your leisure.I believe the graphs really do show Box-Muller beats coordinate wise inverse normal...
by trc
April 24th, 2002, 10:43 pm
Forum: Numerical Methods Forum
Topic: Quasi Monte Carlo : On Dimensionality
Replies: 42
Views: 178600

Quasi Monte Carlo : On Dimensionality

<t>PJ,I have your book and I like it.<<I am terribly sorry about the continuous advertising of my book>>I will gladly advertise the book for you and can wholeheartedly endorse it.Anyone who has any interest at all in Monte Carlo methods should buy it.The code on the CD is very valuable and will save...
by trc
April 24th, 2002, 5:37 pm
Forum: Technical Forum
Topic: Stochastic Integral for Finance
Replies: 21
Views: 191952

Stochastic Integral for Finance

The property needed to have the quadratic variation vanish is "bounded variation" of one of the two processes.If the process were an Ito process this would mean no volatility term.
by trc
April 24th, 2002, 3:48 pm
Forum: Numerical Methods Forum
Topic: Quasi Monte Carlo : On Dimensionality
Replies: 42
Views: 178600

Quasi Monte Carlo : On Dimensionality

Broda only distributes a DLL for Windows. I am on Linux.Does Broda publish discrepancies for its Sobol sequence?What sort of accuracy would you expect?
by trc
April 24th, 2002, 7:04 am
Forum: Numerical Methods Forum
Topic: Quasi Monte Carlo : On Dimensionality
Replies: 42
Views: 178600

Quasi Monte Carlo : On Dimensionality

<t>I have some simulation results for you.Ordinary Monte Carlo squares off against the Sobol sequence.I would particurlarly like to hear from others what they think of the accuracy.A European call on a constant volatility asset was priced (S(0)=50, sigma=0.4, T=1)for 10 different strikes K=40,....,9...
by trc
April 20th, 2002, 4:37 pm
Forum: Numerical Methods Forum
Topic: Quasi Monte Carlo : On Dimensionality
Replies: 42
Views: 178600

Quasi Monte Carlo : On Dimensionality

<t>PUBLIC RECORD OF IGNORANCE:For the benefit of newcomers (like myself) I'll detail here which approaches to Quasi Monte Carlo (QMC) simulation do not work.The problem. We have an asset S and a functional H=H(t->S(t)) of the asset path t->S(t), t=0,1,...,T;(this might be the payoff of a path depend...
by trc
April 17th, 2002, 3:40 pm
Forum: Technical Forum
Topic: Stochastic Integral for Finance
Replies: 21
Views: 191952

Stochastic Integral for Finance

Paul,Thanks for the forum, it is a great asset.
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