SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Lapsilago
November 9th, 2012, 7:59 am
Forum: Book And Research Paper Forum
Topic: New Book - Financial Modelling
Replies: 7
Views: 14964

New Book - Financial Modelling

Hi,Ouch, this is a long time. Is it not available in the US directly?Please send your feedback on the book. Would be valuable to us!Best, Lapsi
by Lapsilago
October 24th, 2012, 9:49 am
Forum: The Quantitative Finance Code Library Project
Topic: Matlab Code - Financial Modelling
Replies: 11
Views: 17154

Matlab Code - Financial Modelling

There is nothing really planned up to now. But maybe a good point for this qf project.I would be happy to test corresponding code against the Matlab stuff! Might be worth to go that way!Best, Lapsi
by Lapsilago
October 24th, 2012, 5:35 am
Forum: Programming and Software Forum
Topic: simulation of levy processes in matlab
Replies: 12
Views: 137532

simulation of levy processes in matlab

<r>hi geradepique,just send your email address via pm to me. The code is freely available athttp://<URL url="http://www.mathworks.de/matlabcentral/fileexchange/?term=authorid:246981Best"><LINK_TEXT text="www.mathworks.de/matlabcentral/fileexch ... 246981Best">www.mathworks.de/matlabcentral/fileexcha...
by Lapsilago
October 24th, 2012, 5:33 am
Forum: The Quantitative Finance Code Library Project
Topic: Matlab Code - Financial Modelling
Replies: 11
Views: 17154

Matlab Code - Financial Modelling

<r>Hi all,We have released a book on Financial Modelling. The code is freely available athttp://<URL url="http://www.mathworks.de/matlabcentral/fileexchange/?term=authorid:246981This"><LINK_TEXT text="www.mathworks.de/matlabcentral/fileexch ... 246981This">www.mathworks.de/matlabcentral/fileexchange...
by Lapsilago
October 24th, 2012, 5:24 am
Forum: Numerical Methods Forum
Topic: Option Pricing with FFT using Matlab
Replies: 6
Views: 72158

Option Pricing with FFT using Matlab

<r>Hi,all you need you can find here:<URL url="http://www.mathworks.de/matlabcentral/fileexchange/?term=authorid:246981The"><LINK_TEXT text="http://www.mathworks.de/matlabcentral/f ... :246981The">http://www.mathworks.de/matlabcentral/fileexchange/?term=authorid:246981The</LINK_TEXT></URL> theory an...
by Lapsilago
October 5th, 2012, 9:39 am
Forum: Programming and Software Forum
Topic: code for heston calibration
Replies: 2
Views: 11473

code for heston calibration

<r>Seehttp://<URL url="http://www.mathworks.de/matlabcentral/fileexchange/?term=authorid:246981you"><LINK_TEXT text="www.mathworks.de/matlabcentral/fileexch ... :246981you">www.mathworks.de/matlabcentral/fileexchange/?term=authorid:246981you</LINK_TEXT></URL> will find different calibration methods ...
by Lapsilago
September 25th, 2012, 5:27 pm
Forum: Numerical Methods Forum
Topic: Brownian Bridge
Replies: 48
Views: 196642

Brownian Bridge

<r>Hi,if you like Matlab code see <URL url="http://www.mathworks.de/matlabcentral/fileexchange/authors/246981Here"><LINK_TEXT text="http://www.mathworks.de/matlabcentral/f ... 246981Here">http://www.mathworks.de/matlabcentral/fileexchange/authors/246981Here</LINK_TEXT></URL> you find BB (standard an...
by Lapsilago
September 25th, 2012, 5:21 pm
Forum: Book And Research Paper Forum
Topic: New Book - Financial Modelling
Replies: 7
Views: 14964

New Book - Financial Modelling

Thanks for stating your first impression.Just updated the code on our Matlab side. Some code will come by the end of this week or beginning of next week.I wish you enjoy the book as well as the code.Best, Lapsi
by Lapsilago
September 24th, 2012, 6:07 pm
Forum: Book And Research Paper Forum
Topic: New Book - Financial Modelling
Replies: 7
Views: 14964

New Book - Financial Modelling

<r>We have a new book out. "Financial Modelling, Theory, Implementation and Practice" describes the full work cycle for advanced financial models. We also provide the source code for all the models and pricing, asset allocation methods.See for yourself! The ebook is already available and the hardcov...
by Lapsilago
July 8th, 2012, 7:30 pm
Forum: Numerical Methods Forum
Topic: Heston Model: Zhu scheme
Replies: 6
Views: 13669

Heston Model: Zhu scheme

Have you applied the exact sampling scheme proposed by Broadie and Kaya.If you could give the vals of the variables you use we can compare prices...
by Lapsilago
July 3rd, 2012, 8:49 am
Forum: Technical Forum
Topic: Option Pricing in CGMY Model Using Fourier Transform
Replies: 6
Views: 14201

Option Pricing in CGMY Model Using Fourier Transform

<r>Hi,if you can wait a little bit you find many models together with (Carr-Madan, Lewis, CONV, COS, ...) at this link:<URL url="http://www.mathworks.in/matlabcentral/fileexchange/authors/246981All"><LINK_TEXT text="http://www.mathworks.in/matlabcentral/f ... /246981All">http://www.mathworks.in/matl...
by Lapsilago
June 29th, 2012, 11:10 am
Forum: Technical Forum
Topic: SABR shifted for negative rates
Replies: 41
Views: 22040

SABR shifted for negative rates

Did you try to use a DD SABR model. We used it project a Spread dynamic to this kind of model. Seehttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=1469554For this model the approximation formulae are still applicable and you can match the smile.
by Lapsilago
June 11th, 2012, 6:15 am
Forum: Numerical Methods Forum
Topic: Correlated Lévy process
Replies: 11
Views: 14451

Correlated Lévy process

<r>Hi,there is another way to model correlated Levy processes. If you can write it as subordinated Brownian motion. You have several possibilities here. First, for each component of a multi dimensional Brownian you can choose a common subordinator process, e.g. a Gamma process. Than, you arrive at a...
by Lapsilago
June 5th, 2012, 6:50 am
Forum: Numerical Methods Forum
Topic: Help - Stochastic Volatility: Broadie and Kaya
Replies: 12
Views: 39122

Help - Stochastic Volatility: Broadie and Kaya

<r>Hi,I have implemented BK. It is part of our new book Financial Modelling - Theory, Implementation and Practice with Matlab source code.The code will be posted at <URL url="http://www.mathworks.de/matlabcentral/fileexchange/authors/246981I"><LINK_TEXT text="http://www.mathworks.de/matlabcentral/f ...
by Lapsilago
June 1st, 2012, 12:42 pm
Forum: Technical Forum
Topic: Stochast/Local Vol LMM
Replies: 61
Views: 53878

Stochast/Local Vol LMM

<t>Hi,no I did not try it with Octave or Scilab. Are these open source programmes. I only heard that they are very close to Matlab. So it should be no problem to port the code to these systems.It is acutally an approximation which we tested with MC. But we do not have a full MC for LV-SV LMM in the ...
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