SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Costeanu
September 30th, 2010, 1:22 am
Forum: Technical Forum
Topic: fancy maths: what for ?
Replies: 17
Views: 25895

fancy maths: what for ?

<t>All math is simple once you understand it. That being said, some people would argue that the math in Labordere's book is not quite elementary, and some would even go as far as to call it "fancy". Now, to go through your list of possible fancy math areas, I don't think any of them has very bright ...
by Costeanu
September 29th, 2010, 12:46 pm
Forum: Book And Research Paper Forum
Topic: New Book - The Blank Swan: The End of Probability by Elie Ayache
Replies: 284
Views: 94343

New Book - The Blank Swan: The End of Probability by Elie Ayache

<t>How many people buy inflation swaps just to show off? Conspicuous consumption is a real phenomenon. But people who indulge in it buy diamonds, mansions and yachts, not swaptions, convertible bonds, or CDS's. I don't see how the conspicuous consumption can be used as an argument against implying p...
by Costeanu
September 28th, 2010, 6:39 pm
Forum: Programming and Software Forum
Topic: MATLAB v Mathematica (as a purchase)
Replies: 78
Views: 41177

MATLAB v Mathematica (as a purchase)

Thanks a lot Alan. I'll use explicit grids from now on. I don't have another solver, I was trying to validate the quality of the NDSolver using BL=BR = 0, for which we have the closed form solution. Best,V.
by Costeanu
September 27th, 2010, 7:36 pm
Forum: Programming and Software Forum
Topic: MATLAB v Mathematica (as a purchase)
Replies: 78
Views: 41177

MATLAB v Mathematica (as a purchase)

<r>Here's some code. It calculates the implied vol of a swaption, assuming the vol is piecewise linear. More precisely the vol has a slope BL to the left of the forward, and a BR to the right of it. The value ATM is SpotVol. In this case BL=BR=0; this is a testing case to see if for the normal case ...
by Costeanu
September 27th, 2010, 5:31 pm
Forum: Programming and Software Forum
Topic: MATLAB v Mathematica (as a purchase)
Replies: 78
Views: 41177

MATLAB v Mathematica (as a purchase)

My experience with NDSolve was not that great. I tried it for a piece-wise linear local vol, and it takes forever, and sometimes it returns the wrong solution.
by Costeanu
September 23rd, 2010, 4:26 pm
Forum: Brainteaser Forum
Topic: exp(5) = [$]e^5[$]
Replies: 546
Views: 126751

exp(5) = [$]e^5[$]

<t>Thanks for the tip, eugenek2010If I understand it correctly, we can start with the approximation ln(2) ~ 0.7, and we multiply it by 7, so ln(2^7) ~ 4.9. 4.9 is pretty close to 5, so we are almost there. Now to improve the accuracy, we say ln(2) ~ 0.693 = 0.7 - 0.007; if we multiply by 7 we get 4....
by Costeanu
September 23rd, 2010, 4:06 pm
Forum: Student Forum
Topic: Basic Stochastic Calculus (for finance) problem.
Replies: 5
Views: 23974

Basic Stochastic Calculus (for finance) problem.

<t>Exactly. That's the whole idea. If there is a sequence of mutually disjoint sets A_i, such that their union is in the field, then P(union) = sum P. If it's not in the field, then it doesn't make sense to talk about P(Union). Now here comes the key point of the extension theorem: you can't talk ab...
by Costeanu
September 22nd, 2010, 6:39 pm
Forum: Careers Forum
Topic: Job search websites
Replies: 4
Views: 24626

Job search websites

<t>Hi vidyevad, Not only there are few jobs posted, many of them are fake. The best thing is to ask friends to recommend you some head-hunters. Actually even better it is to ask friends who already work on the street to submit your resume at their firm. If you don't have such friends, find alumni fr...
by Costeanu
September 22nd, 2010, 6:35 pm
Forum: Student Forum
Topic: Basic Stochastic Calculus (for finance) problem.
Replies: 5
Views: 23974

Basic Stochastic Calculus (for finance) problem.

<t>Hi there, First of all, you can probably be an excellent quant without knowing the Caratheodory extension theorem, so if you don't understand it presto, just move on. As for your question, think about the field generated by intervals of the type (a,b), [a,b), (a,b], [a,b], with both ends rational...
by Costeanu
September 14th, 2010, 5:16 pm
Forum: Student Forum
Topic: D(1) in black scholes
Replies: 16
Views: 25421

D(1) in black scholes

N(d2) is the probability to end up in the money in the risk-neutral measure. N(d1) is the probability to end up in the money in the measure where the stock is the numeraire.
by Costeanu
September 10th, 2010, 1:18 pm
Forum: Numerical Methods Forum
Topic: PDE/FDM Quiz
Replies: 25
Views: 33870

PDE/FDM Quiz

I may be mistaken, but it looks to me this is the heat equation with a conductivity that increases in time and becomes infinity at t=1. As such my intuition is that at t=1 the solution should be the steady state one, which in this case is 0. Best,V.
by Costeanu
September 8th, 2010, 1:23 pm
Forum: Student Forum
Topic: SABR Model and HJM
Replies: 5
Views: 27482

SABR Model and HJM

<t>Hi Assoul,In a bank the first step is already done for you. What you receive as market data is exactly the SABR parameters. You don't actually have access to implied black vols for various strikes, you simply recreate them using the SABR pricer. As for the second step, that is indeed what you nee...
by Costeanu
September 7th, 2010, 5:57 pm
Forum: Student Forum
Topic: SABR Model and HJM
Replies: 5
Views: 27482

SABR Model and HJM

<t>Hi Assoul,SABR is a way to "compress" the market data. Let's say we look at a swaption with expiry 2 years and tenor 5 years. The smile for this expiry/tenor would be given by the implied Black vol for a number of strikes, the most important of which is the current forward swap rate. This strike ...
by Costeanu
September 2nd, 2010, 2:11 pm
Forum: Numerical Methods Forum
Topic: Cholesky factorisation+negative semi-definite matrix
Replies: 4
Views: 27799

Cholesky factorisation+negative semi-definite matrix

<t>Hi onlyaxel,If by negative semi-definite, you really mean negative semi-definite, there is nothing you can do. If however, you mean a matrix which is not postive semi-definite, then you are probably talking about a corrupted correlation matrix. This can happen sometimes, for example when you calc...
by Costeanu
August 25th, 2010, 5:25 pm
Forum: Book And Research Paper Forum
Topic: quick Nook vs. Kindle survey for quant-type books
Replies: 39
Views: 47822

quick Nook vs. Kindle survey for quant-type books

<t>I've lots of books and articles in pdf on my Kindle DX. For most of them I have no problems reading them. For some of them the margins are too big, and there is nothing I can do about that. Maybe you can do something with the new DX. The technical books in the kindle format sold by Amazon are qui...
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