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by Lapsilago
April 12th, 2005, 6:37 am
Forum: Numerical Methods Forum
Topic: PDE vs MC
Replies: 10
Views: 156307

PDE vs MC

<t>Hi there,a big advantage of MC is that the speed of convergence does not depend on the dimension it is sqrt(n)^-1.But you have to implement a good random number generator to cope with high dimensions, multidim distributions,Dependence structures (Correlation/copula) and numerical stuff to cope wi...
by Lapsilago
April 12th, 2005, 6:27 am
Forum: Programming and Software Forum
Topic: Advanced Monte-Carlo including C++ Code
Replies: 17
Views: 156964

Advanced Monte-Carlo including C++ Code

<t>One reason for the "bad" performance for the Milstein scheme in higher dimensions is the apperance of doubly stochastic integrals.However, for many applications one could avoid calculating these integrals because of the structure of the problem...In which dimension do you use Milstein?The Predict...
by Lapsilago
April 12th, 2005, 6:10 am
Forum: Student Forum
Topic: Monte Carlo Simulation
Replies: 12
Views: 173908

Monte Carlo Simulation

<t>Estimation of greeks is quite a challange esp. if the payoffs are not smooth or even discontinuous...One advance method to cope with this problem is Malliavin calculus. A related technique is known as the likelihood ration method. For discontinuous payoffs a mixture of normal finite difference si...
by Lapsilago
April 8th, 2005, 8:30 am
Forum: Programming and Software Forum
Topic: C# instead of C++: Yes, No, Maybe, When?
Replies: 49
Views: 159188

C# instead of C++: Yes, No, Maybe, When?

Some news for c# users:Just seen that there is a Numerical Recipies in C# version.goto www.mathfinance.de there you find the link...
by Lapsilago
April 6th, 2005, 6:39 am
Forum: Technical Forum
Topic: Replication of CMS Caplets
Replies: 17
Views: 203250

Replication of CMS Caplets

Hi there,also interested but could not find these on the net...Cheers Lapsilago
by Lapsilago
April 6th, 2005, 6:36 am
Forum: Technical Forum
Topic: CMS Spread Option Correlation
Replies: 5
Views: 164041

CMS Spread Option Correlation

Hi Pabo,which joint pdf model do you use? Do you incorporate the smile?
by Lapsilago
April 6th, 2005, 6:34 am
Forum: Technical Forum
Topic: CMS spread options articles
Replies: 8
Views: 193365

CMS spread options articles

<t>Also did some work on this topic...Tried the following:* assuming bivariate log-normal and computing the price of a CMS caplet/floorlet for the strike y+K under the hypostheses that Swaprate2 = y. Then, integrating with respect to the distribution for Swaprte2* Using a copula to compute the price...
by Lapsilago
April 6th, 2005, 6:09 am
Forum: Technical Forum
Topic: CMS convexity and moment expansion
Replies: 3
Views: 156891

CMS convexity and moment expansion

<t>As far as I understand it incorporates the smile since integration is done over the whole range of strikes. In the "careful" discretisation as karlmarx posted the vols of the swaption of the static hedge are with respect to a lot of strike values.Nevertheless, you need a model, like SABR, to some...
by Lapsilago
April 6th, 2005, 6:03 am
Forum: Technical Forum
Topic: Hedging Correlation in CMS Spread Option
Replies: 11
Views: 162696

Hedging Correlation in CMS Spread Option

<t>Hi Kipi,did something using a copula approach. Gives reasonable prices. BUT of course dependson * the model of the smile * and the calibration of the copula (Correlation if you use Gaussian)Also tried the approach assuming a bivariate log-normal and using the well knwon weighting method to price ...
by Lapsilago
April 6th, 2005, 5:55 am
Forum: Programming and Software Forum
Topic: Advanced Monte-Carlo including C++ Code
Replies: 17
Views: 156964

Advanced Monte-Carlo including C++ Code

<r>Hi Cuchulainn,cheers for your reply!yes. MC is part of my business. But when I started with it I had no idea about software design <E>;-)</E>.Therefore, it comes that several the solutions to my financial problems solved via MC are wide spread.From the software policy here even the code is not wr...
by Lapsilago
April 4th, 2005, 7:13 am
Forum: Programming and Software Forum
Topic: Advanced Monte-Carlo including C++ Code
Replies: 17
Views: 156964

Advanced Monte-Carlo including C++ Code

There are many books on MC around.I miss one on the "advanced" topics like Sensitivities or American option pricingcoming with robust C++ code like Duffys "Financial Instrument pricing..."Anything planned for the future or anything around
by Lapsilago
November 16th, 2004, 7:54 am
Forum: General Forum
Topic: Hedging CMS
Replies: 0
Views: 169234

Hedging CMS

What are hedging strategies for Constant Maturity Swaps?Could think of Swaptions and (maybe) Bonds...What are the pros and cons of the strategies?
by Lapsilago
October 18th, 2004, 3:12 pm
Forum: General Forum
Topic: Cap on CMS Rate
Replies: 2
Views: 172637

Cap on CMS Rate

Are there any market standards for adjusting the volatility forpricing Caps on a CMS rate, e.g. to use for capped CMS structures?
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