SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by pcaspers
November 23rd, 2015, 10:46 am
Forum: Programming and Software Forum
Topic: Cool algorithms
Replies: 152
Views: 24108

Cool algorithms

<t>QuoteOriginally posted by: CuchulainnWhat is the rationale of using OpenAD/F? This is Fortran and QL has a C++ wrapper for it?It is not so obvious which C++ AD engine is best. Is it possible to show a ~ 4 line program to show the simplest example of differentiation? e.g. delta.BTW, AD is not the ...
by pcaspers
November 22nd, 2015, 12:46 pm
Forum: Programming and Software Forum
Topic: Cool algorithms
Replies: 152
Views: 24108

Cool algorithms

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: pcaspersLaplace InterpolationVery nice, Peter. // BTW can you tell us something about AD please?Adjoint automatic differentiation is for sure rocking the quant finance world currently. Are you coming to Düsseldorf this year? There wi...
by pcaspers
November 21st, 2015, 4:55 pm
Forum: Programming and Software Forum
Topic: Cool algorithms
Replies: 152
Views: 24108

Cool algorithms

Laplace Interpolation
by pcaspers
November 18th, 2015, 5:02 pm
Forum: Programming and Software Forum
Topic: virtual calls overhead / crtp
Replies: 61
Views: 9841

virtual calls overhead / crtp

Very, very true (the math statement)Concerning programming I guess it is the best to write simple, clear code and do not try to impress anyone. The only way to find out if certain principles are useful is to write your own stuff, get annoyed over it, and try to do it better next time.
by pcaspers
November 17th, 2015, 5:38 pm
Forum: Programming and Software Forum
Topic: virtual calls overhead / crtp
Replies: 61
Views: 9841

virtual calls overhead / crtp

<t>so you dislike inheritance as a whole (since too heavyweight ?) and your comment is not specific to the CRTP pattern as such - since virtual functions only make sense in inheritance relationships in C++ ?I sometimes have problems appreciating features of computer languages that are intellectually...
by pcaspers
November 17th, 2015, 6:18 am
Forum: Programming and Software Forum
Topic: virtual calls overhead / crtp
Replies: 61
Views: 9841

virtual calls overhead / crtp

excuse my ignorance - why / in which situations is that better than the classic way?
by pcaspers
November 16th, 2015, 6:33 am
Forum: Student Forum
Topic: Questinos on how to interpret and work with T Forward measure
Replies: 5
Views: 2243

Questinos on how to interpret and work with T Forward measure

Neither measure is "wrong" or "right", they give exactly the same result. Only sometimes a certain measure leads to expressions that can be evaluated easier.
by pcaspers
November 15th, 2015, 9:42 am
Forum: General Forum
Topic: Shifted Lognormal Volatilities
Replies: 3
Views: 2519

Shifted Lognormal Volatilities

<t>QuoteOriginally posted by: maland2015Hello,I have a question regarding the use of shifted lognormal volas. I have the shifted vola data in Reuters and I can simply insert these volas into the displaced diffusion model or do I Need more steps to use them or do I Need a different model? The displac...
by pcaspers
November 14th, 2015, 10:25 am
Forum: Student Forum
Topic: Questinos on how to interpret and work with T Forward measure
Replies: 5
Views: 2243

Questinos on how to interpret and work with T Forward measure

in case of deterministic rates the risk neutral and T-forward measure coincide, so there is no point in changing the numeraire - in case of stochastic rates expressions may simplify considerably though under the T-forward measure compared to the risk neutral measure
by pcaspers
October 25th, 2015, 8:41 am
Forum: General Forum
Topic: settlement vs no arbitrage prices
Replies: 47
Views: 5273

settlement vs no arbitrage prices

<t>QuoteOriginally posted by: bearishI wonder if we can add this sentence (?):"Unfortunately market participants still do not know that value of the market risk is a component of the pricing and without market risk estimate pricing is similar to dealing with expected value of a random variable unkno...
by pcaspers
October 23rd, 2015, 5:32 pm
Forum: General Forum
Topic: settlement vs no arbitrage prices
Replies: 47
Views: 5273

settlement vs no arbitrage prices

QuoteOriginally posted by: list1The benchmark uses forward contract valuation scheme to present spot price of the integral [$]\int_0^T \frac{dS ( t )}{S ( t )} dt[$] (1)Here some questions can come up. ... indeed ...
by pcaspers
October 23rd, 2015, 5:10 pm
Forum: General Forum
Topic: settlement vs no arbitrage prices
Replies: 47
Views: 5273

settlement vs no arbitrage prices

I did some research and found this post alpha, which never got a reply. Maybe if this thread was successfully closed, all this confusion here would come to a happy end ?
by pcaspers
October 19th, 2015, 5:44 pm
Forum: General Forum
Topic: settlement vs no arbitrage prices
Replies: 47
Views: 5273

settlement vs no arbitrage prices

<t>your point is correct. However you can hedge. If you have the payoff S(T) - f(0,T), you can short one quantity of the asset S at t=0 and receive S(0) dollars. Then you close the position at T from the payoff. This leaves you with the obligation to pay f(0,T) at t=T, while on your money market acc...
by pcaspers
October 18th, 2015, 3:14 pm
Forum: General Forum
Topic: settlement vs no arbitrage prices
Replies: 47
Views: 5273

settlement vs no arbitrage prices

are you asking what the difference between a forward price f(t,T) and the spot S(T) is ?
by pcaspers
October 13th, 2015, 1:22 pm
Forum: General Forum
Topic: Black-Scholes vs Vanna Volga, new trend?
Replies: 4
Views: 3029

Black-Scholes vs Vanna Volga, new trend?

<t>I am certainly missing the point, but why can BS not produce good greeks, e.g. fwd-delta isbs-delta + bs-vega x d implvol / d forwardwhere bs-delta, bs-vega are super robust and d implvol / d forward is given by the smile dynamics, so also very stable, if the smile is parametrized smoothly. Or ma...
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