<t>Hi KhairooRight, your problem has nothing to do with implied trees or implied vols at all, since you've specified your deterministic local vol function. I'm not sure I understand your local vol function, but the attached paper might help. You want to transform your log price process into another ...

There was an article in the C/C++ Users Journal on adapting SAFEARRAY to the STL vector interface. Unfortunately the article isn't available online but the code is attached. It's in the April 1999 issue.

<t>Thanks Alan -- and yes indeed, 2n (not n) should appear in all the powers of 1/2.As for the prob that the 3d symmetric random walk ever returns to the origin:Instead of giving a # I'll say that if I were running a casino that offered odds to gamblers who wanted to bet on the 'return to origin' ev...

<t>> Anyone have an inuitive reason why a semetric random walk won't revist in 3 dimensions?The way I look at it intuitively is that the probability of revisiting the origin is 1 if and only if the particle returns an infinite number of times to the origin. (I suspect there's an elementary proof if ...

<t>You've already done all the hard work of O(n log n) to get the two arrays sorted -- you can do the whole search efficiently in linear time as Slevin suggests:int j = 0, k = 0;while (j < n-1 && k < m){___while (j < n-1 && XX[j] > YY[k]) ______j++;___if (XX[j] < YY[k] && XX[...

<t>The killer app for the reflection principle is exotics and barrier option valuation. Martin Baxter's home page has a remarkable chapter (attached) on exotic options where the reflection principle comes naturally into play. It's a shame this chapter didn't make the cut in Financial Calculus -- it ...

<t>The gambler's ruin problem -- here's one simple way to think of the expected time (1 tick of time = 1 coin flip):Let E(n) be the expected time to ruin when the poorer player has just n dollars left. E(0) = 0 of course, and intuitively this function is increasing in n, up to n = 10:E(0) = 0E(1) = ...

John, here is an MSDN article you might be interested in:Building a Real-Time Data Server in Excel 2002

Victor, this approximation might help you.

Hi Hardy -- I found an updated version of this paper in my files (regrettably looks like it was edited with MS Word's Equation Editor). Also including a related paper on the subject which I haven't read.

You might want to also check this out if you can find it:Adams, K. and D. van Deventer, 1994, “Fittingyield curves and forward rate curves withmaximum smoothness,” Journal of FixedIncome, June, 4(1):52–62.This paper is mentioned here

A Feynman / Einstein thread -- very impressive

Cheater, I strongly recommend Carol Alexander's: Market Models: A Guide to Financial Data Analysis if it's a financial application.For a more general text try: Applied Multivariate Statistical Analysis

<r>J, here are a couple of references you might be interested in (2nd one is a Kloeden paper):<URL url="http://www.math.uni-frankfurt.de/~numerik/maplestoch/cyganowski.mar.pdfhttp://www.maths.uq.edu.au/~pmd/milano.ps"><LINK_TEXT text="http://www.math.uni-frankfurt.de/~numer ... /milano.ps">http://ww...

<t>a few more potential candidates for inclusion:Bakshi, et al, "Empirical Performance of Alternative Option Pricing Models", Journal of Finance, Volume 52, Issue 5, 2003-2049 (Dec 1997).Longstaff, F.A. and E.S. Schwartz, "Valuing American Options by Simulation: A Simple Least-Square Approach", Revi...