SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 335 matches

by JohnLeM
November 5th, 2008, 9:43 pm
Forum: Numerical Methods Forum
Topic: Bubble Formation in a Simple Stochastic Market
Replies: 19
Views: 51274

Bubble Formation in a Simple Stochastic Market

<r>I also found a quite nice article from Jarrow and Procterhttp://<URL url="http://www.docstoc.com/docs/833442/Asset-Price-Bubbles-in-Incomplete-Markets"><LINK_TEXT text="www.docstoc.com/docs/833442/Asset-Price ... te-Markets">www.docstoc.com/docs/833442/Asset-Price-Bubbles-in-Incomplete-Markets</L...
by JohnLeM
November 5th, 2008, 9:33 pm
Forum: Numerical Methods Forum
Topic: Bubble Formation in a Simple Stochastic Market
Replies: 19
Views: 51274

Bubble Formation in a Simple Stochastic Market

<t>Copy / Pasting an exchange on LinkedIn that could be interesting for this thread.Rafael,I do agree with you, Agent based model are surely the correct way to handle bubble formation problem.Thanks for the links. However, it is very surprising to me that there does not exist any bubble or crashes m...
by JohnLeM
November 5th, 2008, 2:06 pm
Forum: Numerical Methods Forum
Topic: Who understands Black Scholes Boundary Conditions, really
Replies: 183
Views: 185320

Who understands Black Scholes Boundary Conditions, really

Alan, I think now that is possible. I email you at your option city address.
by JohnLeM
November 5th, 2008, 11:23 am
Forum: Numerical Methods Forum
Topic: Who understands Black Scholes Boundary Conditions, really
Replies: 183
Views: 185320

Who understands Black Scholes Boundary Conditions, really

I am having a look to Glasserman Book "Monte Carlo Methods in Financial Engineering". I think that it covers this topic.
by JohnLeM
November 5th, 2008, 11:01 am
Forum: Numerical Methods Forum
Topic: Bubble Formation in a Simple Stochastic Market
Replies: 19
Views: 51274

Bubble Formation in a Simple Stochastic Market

Thank you TheBridge, I did not knew this author. I will have a careful look and contact you if needed.
by JohnLeM
November 5th, 2008, 10:54 am
Forum: Numerical Methods Forum
Topic: Who understands Black Scholes Boundary Conditions, really
Replies: 183
Views: 185320

Who understands Black Scholes Boundary Conditions, really

<t>Alan : I am looking to a pdf available paper that describes precisely how to price an European instrument written over a CIR process using explicit Monte Carlo simulations with a Bessel Square root process (or altenatively Ornstein Uhlenbeck process). It surely exists, but can't find it by google...
by JohnLeM
November 4th, 2008, 5:23 pm
Forum: Numerical Methods Forum
Topic: Who understands Black Scholes Boundary Conditions, really
Replies: 183
Views: 185320

Who understands Black Scholes Boundary Conditions, really

<r>I was having a look to the existing web literature for Heston model and the numerical schemes devoted to them.I found this link: <URL url="http://eprints.maths.ox.ac.uk/718/01/Sensen_Lin_thesis.pdf"><LINK_TEXT text="http://eprints.maths.ox.ac.uk/718/01/Se ... thesis.pdf">http://eprints.maths.ox.a...
by JohnLeM
November 4th, 2008, 3:26 pm
Forum: Numerical Methods Forum
Topic: Who understands Black Scholes Boundary Conditions, really
Replies: 183
Views: 185320

Who understands Black Scholes Boundary Conditions, really

<t>QuoteFame and glory awaits for anybody who can get it to work because this would remove a truly troublesome boundary condition issue in a very popular/useful model. Disclaimer - I am joking with a very personal parenthesis in this paragraph - End Disclaimer. Really ? Oh...sound interesting since ...
by JohnLeM
November 4th, 2008, 7:16 am
Forum: Numerical Methods Forum
Topic: Who understands Black Scholes Boundary Conditions, really
Replies: 183
Views: 185320

Who understands Black Scholes Boundary Conditions, really

<t>Alan: Thannks for the link. It seems to be a really nice article. Do you know where to find the entire article under PDF or PS format ? That wat, I may have the explicit solution (I have too much work to compute it myself, even if is seems quite simple to get)You are completely right. Obviously, ...
by JohnLeM
November 4th, 2008, 12:36 am
Forum: Numerical Methods Forum
Topic: Who understands Black Scholes Boundary Conditions, really
Replies: 183
Views: 185320

Who understands Black Scholes Boundary Conditions, really

<t>Ok (? As I told you, I am not really a quantitative analyst).Could you point me out a link to the explicit formula (it is better for TBC, and I would be interested to see it)By the way, if it is solved explicitly, what is the point to solve it ? To understand the kind of TBC it would generate ? <...
by JohnLeM
November 4th, 2008, 12:04 am
Forum: Numerical Methods Forum
Topic: Who understands Black Scholes Boundary Conditions, really
Replies: 183
Views: 185320

Who understands Black Scholes Boundary Conditions, really

<r>Just some quick points over TBC: first, I now remind that there exists local and non local TBC. So I am not sure now of what kind of TBC Farid was referring. I found also a BS reference for them, although I did not read : <URL url="http://www.matheon.de/preprints/3484_black-scholes.psAlan"><LINK_...
by JohnLeM
November 3rd, 2008, 11:03 pm
Forum: Numerical Methods Forum
Topic: Who understands Black Scholes Boundary Conditions, really
Replies: 183
Views: 185320

Who understands Black Scholes Boundary Conditions, really

<t>Concerning Fichera, I am sorry, I am still not sure of the mechanism, although I read posts and slides. I can not find any literature on it.As far as I understood, the method for BS consists in using a mapping from [0,+\infty[ into a bounded domain, then to solve the equation into it, leading to ...
by JohnLeM
November 3rd, 2008, 10:30 pm
Forum: Numerical Methods Forum
Topic: Who understands Black Scholes Boundary Conditions, really
Replies: 183
Views: 185320

Who understands Black Scholes Boundary Conditions, really

I forgot: in Finance, they are also quite used. For instance, in Sophis Risque PDE pricer: I implemented them.
by JohnLeM
November 3rd, 2008, 10:27 pm
Forum: Numerical Methods Forum
Topic: Who understands Black Scholes Boundary Conditions, really
Replies: 183
Views: 185320

Who understands Black Scholes Boundary Conditions, really

<t>Cuchulain, TBC is a quite simple concept. Farid just wrote the integral of the BS solution over the boundary of the domain. Would you derivate Farid integral, you would find the BS equation at this boundary. The numerical form that I wrote in this post is just the numerical approximation of this ...
by JohnLeM
November 3rd, 2008, 4:50 pm
Forum: Numerical Methods Forum
Topic: Bubble Formation in a Simple Stochastic Market
Replies: 19
Views: 51274

Bubble Formation in a Simple Stochastic Market

Guys, the first paper is ready. However, it is not very relevant without numerical results, and I have lost the C++ code. I have to rewrite it from scratch, this is a one day work. I will release both code and paper, probably at end of the week.
GZIP: On