<t>Hi Quartz,Sorry for the very long delay - have come back to the UK from Sweden to rejoin the rat race and have had my computer being shipped for quite some time.Re my thesis, I've attached a copy here.The two chapters you may be interested in are 2 and 4 (forgive me, when I wrote this I was a PhD...

<t>Hi quartz,From what I have seen in the industry, most places have some semi-sensible implementation of qmc methods but when they are applied to highly structured payoffs then the results are not significantly better than antithetic variates (if at all) and nowhere that I have worked have they use...

PS updated and clarified download instructions on sourceforge.

Hi,To get the code either:(1) Click 'Develop' and then use subversion to check out the code using the command listed thereor (if you don't have subversion installed) then you can(2) Click Browse Code->SVN. Then click 'Download GNU Tarball'.Ciao.

<t>Hi there,If, like me, you have you have ever implemented the analytics for Piterbarg's LMM model and haven't been entirely happy with the behaviour of your Fourier pricing of options in a Heston displaced lognormal model then you might be interested in a paper I have just stuck up on ssrn [paper]...

<t>Hi spursfan,Thanks for the link. Looks a nice paper, I'll have a look at it over the weekend.As for knowing the weights for the Filon scheme, the problem is that the weights will depend upon the moneyness which you don't know a priori, but you can calculate them on the fly without too much diffic...

<t>1. The convexity adjustment will be depend upon (and be proportional to) the covariance between your swap rate and the payment zero coupon bond rebased by the annuity of the underlying swap. Since the duration of the annuity is longer than that of the payment zero coupon bond the annuity-rebased ...

<r>Hi there,Just wondering if anyone else has using Filon-type approaches for Fourier approaches to pricing options (in eg Heston models). A good modern survey of Filon type approaches is 'On the numerical quadrature of highly-oscillating integrals I: Fourier transforms' by Prof Arieh Iserles at Cam...

Hi Jeff,Although I'm not in Oxford anymore I do know Klaus - I should give him an email....When it comes to lattices and Heston vol any tips or complications?Andy

<t>Has anyone any experience/useful comments about simulating under Heston vol. There appear to be two types of approach: stochastic Taylor expansion type approaches (Euler, Milstein, etc) and exact approaches. By 'exact' approaches I mean Fourer-based simulation techniques: ie Given V(s) with s<t, ...

Market completeness is a tool used by mathematicians to avoid having to describe risk preferences or understand any economics.

<t>I prefer C++ to C (whether it is 'better' depends on what you mean by good). It is hard to really appreciate it unless you actually do a program in C++. To be honest when I heard about object orientation I thought it was alot of trendy nonsense, but having done a fair bit of programming in my PhD...

<t>Hi Sam,A Sigma algebra, G, is complete with respect a (probability) measure P defined on a sigma algebra F iff whenever a set A in G is such that there exists a set in B in F such that A is a subset of B and B has measure 0.A filtration is completed if each element of the filtration is completed ...