Serving the Quantitative Finance Community

Search found 123 matches

  • 1
  • 2
  • 3
  • 4
  • 5
  • 9
by Lapin
June 11th, 2008, 7:55 am
Forum: Technical Forum
Topic: Worst of Option with Barrier
Replies: 12
Views: 57651

Worst of Option with Barrier

<t>1. True2. Envy has no part in there. I am just dealing with deception. If I find a market opportunity, I know what is my fair price under my own assumption (and so model), but I wish to know sell side price before asking for it in order to maximize my profit.3. Agreed4. Fair enough. Just asking i...
by Lapin
June 10th, 2008, 10:31 am
Forum: Technical Forum
Topic: Worst of Option with Barrier
Replies: 12
Views: 57651

Worst of Option with Barrier

<t>Hi Paul... Thanks for the feedback.I do agree these models are not the best, but it seems to be mkt standard.If you work on the buy side and you want to quantify the margins taken by the banks you need to use the same weapons, isn't it?On the hedge fund part, this is another story...Which kind of...
by Lapin
June 4th, 2008, 11:13 am
Forum: Technical Forum
Topic: Worst of Option with Barrier
Replies: 12
Views: 57651

Worst of Option with Barrier

<t>FDM will be perfect as long as the dimension is small, isn't it?With stochastic correlation models, the dimension increases very quickly (2 underlyings->3 dimensions, 3 underlyings -> 6 dimensions)Some questions about stochastic correlation models:1. To calibrate those models, will you try to rep...
by Lapin
February 19th, 2008, 4:56 pm
Forum: Technical Forum
Topic: VLADIMIR V. PITERBARG's Time to Smile: Effective Vol of Variance calculation
Replies: 0
Views: 61040

VLADIMIR V. PITERBARG's Time to Smile: Effective Vol of Variance calculation

<t>Hi,I have trouble matching Piterbarg's article results.I have read the posts here and I have followed his instructions regarding the 1m interpolation of the parameters.I have recalculated the weight function as follow:1- Since Sigma is piece wise constant, I can resume my calculation on a [T1, Ti...
by Lapin
January 25th, 2008, 11:45 am
Forum: Numerical Methods Forum
Topic: ADE: why explicit?
Replies: 30
Views: 66904

ADE: why explicit?

Indeed looks more robust.Thanks for the tip, i will work on it now.
by Lapin
January 25th, 2008, 11:21 am
Forum: Numerical Methods Forum
Topic: ADE: why explicit?
Replies: 30
Views: 66904

ADE: why explicit?

<t>Sep,The article from Risk deals with local sto vol - It uses Gyongy theorem to calculate a new local vol that will include the stochastic part.It assumes that your local vols are alreay known. The calibration of the densities in this case requires only ADI 1 shot, so you don't need to loop until ...
by Lapin
January 24th, 2008, 2:30 pm
Forum: Numerical Methods Forum
Topic: ADE: why explicit?
Replies: 30
Views: 66904

ADE: why explicit?

<t>Let's imagine we have only 1 expiry available.I can only match the terminal distribution at this time, the rest being inter/extra polated.Going forward PDE, you know the boundary conditions at time 0, then you go forward.When you reach the maturity, you check the calibration error with the know o...
by Lapin
January 24th, 2008, 2:18 pm
Forum: Numerical Methods Forum
Topic: ADE: why explicit?
Replies: 30
Views: 66904

ADE: why explicit?

In my view, you only know your distribution at few points.If you assume a parametric form for the local vol, you can calibrate it at the final terms.The rest been assumed by your form.Do I get it wrong?
by Lapin
January 23rd, 2008, 2:27 pm
Forum: Numerical Methods Forum
Topic: ADE: why explicit?
Replies: 30
Views: 66904

ADE: why explicit?

Forward PIDE for European Calls.Moreorless this equation enables you to calculate one shot a continuum of call prices at different strikes at the final Time.If you know some option prices, you can then calibrate a local vol surface.
by Lapin
January 23rd, 2008, 2:10 pm
Forum: Numerical Methods Forum
Topic: ADE: why explicit?
Replies: 30
Views: 66904

ADE: why explicit?

<t>Cuch,I am doing now.I am trying to calibrate a local parametric vol by computing the forward PIDE.ADE is my first choice since it is explicit for calibration purpose.I am having some difficulties having logical results:For example, if my IV are flat, my local vol should be also flat and equal to ...
by Lapin
January 22nd, 2008, 12:28 pm
Forum: Numerical Methods Forum
Topic: ADE: why explicit?
Replies: 30
Views: 66904

ADE: why explicit?

Thanks Cuch.I was secretly hoping you would reply me.This ADEs schemes look amazing. A while ago you talked about MADE. Do you have a paper about it or is it non publishable?
by Lapin
January 22nd, 2008, 10:00 am
Forum: Numerical Methods Forum
Topic: ADE: why explicit?
Replies: 30
Views: 66904

ADE: why explicit?

<t>Hi,I am reviewing old threads on ADE like this one: ADEThere is the ADE scheme described there, btu I am struggling to see why it is explicit.It seems I have an understanding pb, but for me you are stuck with terms in n+1 different from Ui,j,n+1 (for pure explicit).Can someone emlight me?[EDIT]: ...
by Lapin
December 28th, 2007, 2:01 pm
Forum: General Forum
Topic: EuroStoxx 50 in USD
Replies: 1
Views: 61201

EuroStoxx 50 in USD

quanto options are only available in OTC as of today...
by Lapin
December 12th, 2007, 7:49 am
Forum: General Forum
Topic: Anyone familiar with Chinese H-Shares?
Replies: 1
Views: 61228

Anyone familiar with Chinese H-Shares?

H shares are the stock of mainland China stocks quoted in HK. It was done so to let access to Chinese stocks to foreign investors (who can not trade directly in China). Could be seen as ARDs.Anyway the measure has already been called (or suspended)...
by Lapin
December 10th, 2007, 7:06 am
Forum: Programming and Software Forum
Topic: XLW : is it possible to write in a txt file?
Replies: 2
Views: 62299

XLW : is it possible to write in a txt file?

just write you dump code in C++.There should be no issues in my view.
  • 1
  • 2
  • 3
  • 4
  • 5
  • 9