SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by DrEvil
April 23rd, 2004, 12:40 pm
Forum: Off Topic
Topic: John Kerry: Involuntary Servitude for the Young
Replies: 29
Views: 190715

John Kerry: Involuntary Servitude for the Young

Sounds like Wilmotters are finding this a fascinating election: A.) Let Bush abolish the 1st ammendment, or B.) Let Kerry Abolish the 13th ammendement.I never liked that constitution anyways; it wasn't "Evil" enough :-).
by DrEvil
April 23rd, 2004, 12:27 pm
Forum: Student Forum
Topic: Local volatility
Replies: 10
Views: 190486

Local volatility

<t>The 'local volatility' at price S and time t is a function v(S,t) such when the process dS/S = r dt + v(S,t) dZ is simulated, all option prices match those seen in the market. You can get this function either with the Dupire formula (partial derivatives of the implied vol surface) or by calibrati...
by DrEvil
April 23rd, 2004, 12:20 pm
Forum: Programming and Software Forum
Topic: Notebooks - Dell or IBM
Replies: 15
Views: 190245

Notebooks - Dell or IBM

<t>QuoteOriginally posted by: rynoIs more than half a gig of RAM necessary for quant modeling?Yes, the full Gb is cheap enough and worth it now. Remember the last time you wanted to run a huge matrix optimization while playing a DVD and running Photoshop in the background? If you spend more time on ...
by DrEvil
April 23rd, 2004, 12:16 pm
Forum: Book And Research Paper Forum
Topic: Levy Processes in Finance - Pricing Financial Derivatives
Replies: 11
Views: 191532

Levy Processes in Finance - Pricing Financial Derivatives

I hear Levy processes are used on Asian options desks and hardly anywhere else up until now. Anyone know more on how the stuff in this book is really used?
by DrEvil
April 23rd, 2004, 11:56 am
Forum: Technical Forum
Topic: GARCH(1,1) and MC simulation
Replies: 1
Views: 189352

GARCH(1,1) and MC simulation

Do you mind sharing/posting your code, or is it proprietary?
GZIP: On