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by mtsm
November 9th, 2011, 12:40 pm
Forum: General Forum
Topic: Sabr NORMAL Volatility for Beta = 0 (formula A.70a in original hagan article)
Replies: 12
Views: 23308

Sabr NORMAL Volatility for Beta = 0 (formula A.70a in original hagan article)

<r>This is a typo in the paper. I looked into this recently. For beta = 0, you can implement the formula in such a way that it will be fine for negative strikes/rates, although this is of limited use I think, as you may need non-zero beta.BTW, I think there is another typo in equation (3.1a). I beli...
by mtsm
November 8th, 2011, 8:33 pm
Forum: Technical Forum
Topic: MC for SABR process
Replies: 45
Views: 54003

MC for SABR process

Hi, has anybody kept an electronic copy of the Chen, van der Weide, Oosterlee paper? Ooosterlee's web site is down. I rwote to him, but I would appreciate an electronic copy for quicker turnover.Thanks,mtsm.np@gmail.com
by mtsm
November 3rd, 2011, 10:57 am
Forum: Technical Forum
Topic: Heston pde solver anyone?
Replies: 1
Views: 16718

Heston pde solver anyone?

I realized that I might be more lucky with Heston pde solvers as there seem to be some lying around here and there. Does anybody have experience with some of them and can recommend one?Thanks,mtsm
by mtsm
November 2nd, 2011, 4:09 pm
Forum: Technical Forum
Topic: SABR pde solver anyone?
Replies: 0
Views: 16987

SABR pde solver anyone?

Does anyone have a SABR pde solver lying around they are willing to share? I would like to perform some experiments against analytic approximations.Thanks,mtsm
by mtsm
November 1st, 2011, 3:43 pm
Forum: Technical Forum
Topic: shifted SABR model expansion
Replies: 10
Views: 26891

shifted SABR model expansion

right, so you are doing something more general. Are you treating the shifted CEV SABR model?also, the normal expansion suck as far as I know. Even for low strikes, I don't see what it buys you overthe lognormal expansion.
by mtsm
November 1st, 2011, 11:47 am
Forum: Technical Forum
Topic: shifted SABR model expansion
Replies: 10
Views: 26891

shifted SABR model expansion

<t>why do you need a more elaborate expansion? A couple of people seem to be using a similar result to what is being used for shifted lognormal. Look at it as follows:d F_t = v_t (F_t + s) dW1d v_t = n v_t dW2Is that the system you are considering, with s being the shift and the usual SABR assumptio...
by mtsm
October 31st, 2011, 5:46 pm
Forum: Technical Forum
Topic: shifted SABR model expansion
Replies: 10
Views: 26891

shifted SABR model expansion

is it the case like in deterministic vol shifted lognormal, that all you need to do is to shift the forward and strike and then reuseyour existing lognormal black calculators? In other words, the SABR expansion is applicable as such without further modification?
by mtsm
October 30th, 2011, 1:22 pm
Forum: Technical Forum
Topic: shifted SABR model expansion
Replies: 10
Views: 26891

shifted SABR model expansion

did you make any progress on this? why do you want to consider this variant? negative strikes?
by mtsm
October 29th, 2011, 5:23 pm
Forum: Book And Research Paper Forum
Topic: Derivative Algorithms' Tom Hyer
Replies: 8
Views: 21144

Derivative Algorithms' Tom Hyer

so what? they endorsed the book for the publisher and surely weren't going to say that the book sucks on the back cover.
by mtsm
October 27th, 2011, 12:51 pm
Forum: Technical Forum
Topic: delta of a forward rate
Replies: 2
Views: 18630

delta of a forward rate

<t>hi, please help me review ways of getting the delta of a forward swap rate. I am specifically interested in transformation/jacobian methods. imagine we are interested in generating a delta ladder for a forward swap rate with respect to source instruments on whic we build ourcurves. One way of doi...
by mtsm
October 27th, 2011, 12:47 pm
Forum: Technical Forum
Topic: Term structure model for multiple curves?
Replies: 4
Views: 19614

Term structure model for multiple curves?

<t>I doubt that there is a standard way of doing this. In the past people would often bake a deterministic spread assumption into the model. So, for example, take a BGM model and use that to simulate cash forwards, i.e. effectively the model then describes the forwards at which you accrue interest. ...
by mtsm
October 23rd, 2011, 11:18 pm
Forum: Technical Forum
Topic: various SABR Expansions
Replies: 6
Views: 18216

various SABR Expansions

<t>Yeah could be. I am not sure that doing this numerically for arbitrary strike options is either that easy or so efficient. For example Monte Carlo for very high strike options is a tail event sensitive problem and implementing a finite difference method for such options means using a very wide gr...
by mtsm
October 21st, 2011, 12:56 pm
Forum: Technical Forum
Topic: various SABR Expansions
Replies: 6
Views: 18216

various SABR Expansions

<t>Yes, thanks for reminding me of this thread. This was a good one in which you advocated the use of thePaulot expansion mostly, if I remember well. Will reread it. I guess I am mostly interested in very practical aspects of the way in which the expansion is used. For example, why are the recent ex...
by mtsm
October 20th, 2011, 5:05 pm
Forum: Technical Forum
Topic: various SABR Expansions
Replies: 6
Views: 18216

various SABR Expansions

<t>I am beginning to look into various SABR expansions that have been developed after the original Hagan paper.I was wondering if you can make particular recommendations or have significant experience with any of the newer developements? Is anybody using higher order expansions for example?Also, are...
by mtsm
September 9th, 2011, 4:42 pm
Forum: Numerical Methods Forum
Topic: best practices: mulit-dim pdes, cheyette, etc...
Replies: 7
Views: 21417

best practices: mulit-dim pdes, cheyette, etc...

<t>1. Yes the dimensionality always refers to the number of factors/underlyings - never includes time, like in physics or engineering it refers to the space in which the action takes place.2. Right, in analogy to CFD, there will be only advection terms in these dimensions, i.e. only first order deri...
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