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by JohnLeM
January 3rd, 2009, 2:23 pm
Forum: General Forum
Topic: Are the markets random or deterministic?
Replies: 37
Views: 47709

Are the markets random or deterministic?

And what about randomly deterministic ? Wait a little...this is called stochastic theory !
by JohnLeM
January 3rd, 2009, 2:21 pm
Forum: General Forum
Topic: could transaction costs be a good regulation tool ?
Replies: 1
Views: 44054

could transaction costs be a good regulation tool ?

<r>I was wondering what kind of tools could be found useful for regulators wishing to smoothen crisis effects in markets. This problem is quite close to control theory.If you think to markets as dynamical system, and could you interpret crisis as a shock formation in an economical system, there exis...
by JohnLeM
January 2nd, 2009, 1:48 pm
Forum: General Forum
Topic: Can algorithmic trading increase frequencies of economical crisis ?
Replies: 6
Views: 44601

Can algorithmic trading increase frequencies of economical crisis ?

<t>Interesting.1) Timescales mismatch. You may be right, and this argument could be a good one.However, to be rigorous, one should have look to volume of exchange due to algorithmic trading during the last twenty years. At my knowledge, algorithmic trading is entering now its industrial phase. Moreo...
by JohnLeM
January 2nd, 2009, 9:32 am
Forum: General Forum
Topic: Can algorithmic trading increase frequencies of economical crisis ?
Replies: 6
Views: 44601

Can algorithmic trading increase frequencies of economical crisis ?

I am not sure to understand your answer in the context of this post : do you really think that Karl Marx wrote about algorithmic trading ?
by JohnLeM
January 1st, 2009, 10:37 pm
Forum: General Forum
Topic: Can algorithmic trading increase frequencies of economical crisis ?
Replies: 6
Views: 44601

Can algorithmic trading increase frequencies of economical crisis ?

<r>Do not misunderstand this discussion: it is not a criticism of algorithmic trading.I am trying to understand formation of bubbles in economical systems. In my (poor and small) understanding, latency time (of reaction of traders) impacts the probability of economical burst formation. I was trying ...
by JohnLeM
December 9th, 2008, 11:45 pm
Forum: Numerical Methods Forum
Topic: Monte Carlo method for Heston
Replies: 28
Views: 51654

Monte Carlo method for Heston

nice chart. Did you draw it with the explicit solution of the joint density ?
by JohnLeM
December 9th, 2008, 5:58 pm
Forum: Numerical Methods Forum
Topic: OTS : an open source project for the numerical analysis community.
Replies: 0
Views: 45269

OTS : an open source project for the numerical analysis community.

<t>Hi all.I started an open source project for the numerical analyst community. It is a quite general purpose project, intended to ease integration of numerical schemes of dynamical systems coming from PDE or SDE. It is a GPL licensed C++ project, that includes a basic graphical interface, multidime...
by JohnLeM
December 7th, 2008, 10:57 pm
Forum: Numerical Methods Forum
Topic: Monte Carlo method for Heston
Replies: 28
Views: 51654

Monte Carlo method for Heston

The paper from Dragulescu and Yakovenko exhibit the Laplace transform of the Fourier transform of the joint density (!). Computing the inverse of this strange operator does not seems trivial.The paper by Lamoureux and Paseka seems more useful. Thanks for this reference.
by JohnLeM
December 7th, 2008, 7:24 pm
Forum: Numerical Methods Forum
Topic: Monte Carlo method for Heston
Replies: 28
Views: 51654

Monte Carlo method for Heston

<r>Waiting for the book of Lipton, I found also a quite interesting reference (I mean a free one)Probability distribution of returns in the Heston model with stochastic volatility, from Adrian A. Dr˘agulescu∗ and Victor M. Yakovenko†.<URL url="http://www2.physics.umd.edu/~yakovenk/papers/QuantFinanc...
by JohnLeM
December 7th, 2008, 5:08 pm
Forum: Numerical Methods Forum
Topic: Monte Carlo method for Heston
Replies: 28
Views: 51654

Monte Carlo method for Heston

Alan,I am not looking for the marginal density, that can be effectively recover from two time strike derivative of the call option, but for the full transition density of the Heston process.Thus thanks a lot for your very good hint. I am looking to Lipton book.
by JohnLeM
December 7th, 2008, 1:39 pm
Forum: Numerical Methods Forum
Topic: Monte Carlo method for Heston
Replies: 28
Views: 51654

Monte Carlo method for Heston

<t>Spurfan, thanks for the link although I knew this reference. It is obviously a good paper, but Andersen needs time integration to sample Heston process in it as far as I understood.I am a little bit surprised not to find any mention of an explicit Monte Carlo integration formula for Heston proces...
by JohnLeM
December 7th, 2008, 12:39 pm
Forum: Numerical Methods Forum
Topic: Monte Carlo method for Heston
Replies: 28
Views: 51654

Monte Carlo method for Heston

Quotesee my Wilmott column in May 2007 Oops..I did not find the reference sorry. Could you please be kind enough to provide a link ?
by JohnLeM
December 7th, 2008, 12:31 pm
Forum: Numerical Methods Forum
Topic: Monte Carlo method for Heston
Replies: 28
Views: 51654

Monte Carlo method for Heston

<t>QuoteYes, this problem has been solved by Dr. Joerg Kienitz and myself. If you mean a numerical solution of the Heston SDE and then MC averaging the best method we have seen is QE. All the others are just so so. Thanks Cuchulain. However I am not sure that it is what I am looking for. Maybe I sho...
by JohnLeM
December 7th, 2008, 10:56 am
Forum: Numerical Methods Forum
Topic: Monte Carlo method for Heston
Replies: 28
Views: 51654

Monte Carlo method for Heston

<t>Hello,I am looking for a Monte Carlo sampling method to evaluate European like securities written on top of an Heston process, but can't find it.The literature brought to my knowledge provides time stepping Monte Carlo integration. However, since there exists explicit call formulas, I was expecti...
by JohnLeM
November 22nd, 2008, 3:51 am
Forum: Numerical Methods Forum
Topic: Numerical methods for multidimensional Optimal Stopping Problem
Replies: 33
Views: 54546

Numerical methods for multidimensional Optimal Stopping Problem

QuoteI did not foresee any difficultiesI should have been more humble: I did not foresee any difficulties at present time. It is normal, since I am a Heston rookie.
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