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by Lapsilago
August 25th, 2006, 6:10 am
Forum: Technical Forum
Topic: Portfolio Insurance Strategies: OBPI versus CPPI
Replies: 26
Views: 154870

Portfolio Insurance Strategies: OBPI versus CPPI

<t>Hi all,came across the problem with the dependency on the vol. If you consider plain CPPI isn't it that the value of the strategy is given byV(t) = a(t) * S(t)^m + B(t)with S(t) denoting the stock and B(t) the riskless zerobond. The proportion of the stoch isgiven by a(t) = C(0) / S(0)^m * exp((r...
by Lapsilago
August 24th, 2006, 1:39 pm
Forum: Technical Forum
Topic: Help needed on Heston
Replies: 25
Views: 97823

Help needed on Heston

Hi,me again. Now the fit is perfect. Increased the number of points in the GL integration and tralala includedthe discount factor to get the present value. Then I fit the prices from the applet...;-)Bye, Lapsi
by Lapsilago
August 24th, 2006, 12:42 pm
Forum: Technical Forum
Topic: Help needed on Heston
Replies: 25
Views: 97823

Help needed on Heston

<t>Hi again,typed in the wrong numbers into my spreadsheet. Had a look on the site.The original prices of the Heston paper are the same with my code and the java applet.However, if I change the correlation the prices of my implementation and the one from theapplet diverge a little bit. For the orgin...
by Lapsilago
August 24th, 2006, 12:41 pm
Forum: Technical Forum
Topic: Help needed on Heston
Replies: 25
Views: 97823

Help needed on Heston

<t>Hi again,typed in the wrong numbers into my spreadsheet. Had a look on the site.The original prices of the Heston paper are the same with my code and the java applet.However, if I change the correlation the prices of my implementation and the one from theapplet diverge a little bit. For the orgin...
by Lapsilago
August 24th, 2006, 6:31 am
Forum: Technical Forum
Topic: Help needed on Heston
Replies: 25
Views: 97823

Help needed on Heston

Hi mspadaccino,tested your problem and got 22.5812 for the Heston Call price using FFT methods.I also have some questions: - do you use Heston in multidim setting also? - what algo do you use for calibration?Best wishes, Lapsi
by Lapsilago
June 30th, 2006, 8:27 am
Forum: Technical Forum
Topic: Digital Option
Replies: 9
Views: 102720

Digital Option

<t>Hi chichi,to my opinion it would bea digital with strike 100% and Amount 110% (on rel. performance, i.e. X_t/X_0) for first yeara digital knock out call on 120% with strike 100% if knock out condition is fulfilled.the structure is well known for certificates. There numerous payoffs for the last d...
by Lapsilago
June 23rd, 2006, 4:59 pm
Forum: Technical Forum
Topic: Stochastic integral and its relation to Stieltjes integral
Replies: 3
Views: 101379

Stochastic integral and its relation to Stieltjes integral

<t>Hi PiotrW,you can define the Ito integral for e.g. Brownian motion on typical paths as follows:Take an Interval [0,t] and a division T1 sub T2 sub T3 .... such thatmax t_i in Tn, t_i <= t(|t_(i+1)-t_i| -> 0Since Brownian Motion (typical path) is continuous and has finite secon variation, i.e.the ...
by Lapsilago
June 19th, 2006, 5:56 pm
Forum: Technical Forum
Topic: Pricing and Trading Cliquet Options
Replies: 3
Views: 102279

Pricing and Trading Cliquet Options

<t>I appreciate any comments on the topic of what is the "common" model for pricing cliquets.Suppose I have more than one underlying, some stocks denominated in different currencies.Currently I am using stoch vol model (Heston) for pricing Cliquet on one stock. What are the comments on quantoed cliq...
by Lapsilago
May 15th, 2006, 5:55 am
Forum: Numerical Methods Forum
Topic: Passing functions from Excel to dll / xll
Replies: 5
Views: 107963

Passing functions from Excel to dll / xll

Cheers, will give it a try!
by Lapsilago
May 12th, 2006, 5:38 am
Forum: Numerical Methods Forum
Topic: Passing functions from Excel to dll / xll
Replies: 5
Views: 107963

Passing functions from Excel to dll / xll

<t>Thx for your reply!But maybe I have to clarify a little bit. What I wanna do is passing functions to a minimizer.I would like to enter a function like x^2+y^2+z^2 into a cell in Excel. The dll / xll should considerthis function for minimization. I already implemented some minimizers into the dll ...
by Lapsilago
May 10th, 2006, 7:21 am
Forum: Numerical Methods Forum
Topic: Passing functions from Excel to dll / xll
Replies: 5
Views: 107963

Passing functions from Excel to dll / xll

<t>Got the following problem:A certain cell in Excel contains a function (maybe of several variables) which I would liketo minimize. The minimization procedure I would like to do in a dll / xll.How is it possible to pass the function to the dll / xll to use for minimization procedure?Any ideas welco...
by Lapsilago
March 28th, 2006, 5:34 pm
Forum: Technical Forum
Topic: How to simulate stochastic volatility?
Replies: 8
Views: 113755

How to simulate stochastic volatility?

<t>There are some pitfalls when using simple Euler scheme. The vol can get negative. Butsince you are using square root processes you can sample from the right distributionwhich involves chi-squared distributions.On the other hand you can also use some kind of mixture (explicit/implicit) to get an a...
by Lapsilago
February 17th, 2006, 1:23 pm
Forum: Technical Forum
Topic: MC Simulation
Replies: 10
Views: 124125

MC Simulation

Just remove the https:// in front and it works!
by Lapsilago
January 24th, 2006, 2:52 pm
Forum: Technical Forum
Topic: Can Malliavin Calculus Do Bucket Greeks
Replies: 4
Views: 121718

Can Malliavin Calculus Do Bucket Greeks

<t>Hi,just to clarify the theory. In Malliavin calculus there is an integration by parts formula. This formula allows to shift the derivative from the payoff to the density function. Therefore, for very naughty option payoffs, i.e. with discontinuities or jumps, one can achieve better results for co...
by Lapsilago
January 24th, 2006, 2:31 pm
Forum: Numerical Methods Forum
Topic: The relationship between Random Walks and PDE
Replies: 12
Views: 125426

The relationship between Random Walks and PDE

<t>Hi,there is a close and very natural connection of Brownian Motion and the Laplacian. These two are tied together via the general theory of Dirichlet Forms. Loosly speaking, the Dirichlet Form is a kind of scalar product on some Hilbert space.The connection now goes as follows: Linear diff operat...