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by Darou
April 27th, 2015, 2:14 pm
Forum: General Forum
Topic: Volatility surface smoothing
Replies: 5
Views: 5176

Volatility surface smoothing

<r>Hi Jakub,here is a nice overview paper: <URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1882567There"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... 82567There">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1882567There</LINK_TEXT></URL> are many different approach...
by Darou
September 29th, 2014, 1:10 pm
Forum: General Forum
Topic: Shortest Proof Mean-Variance Efficiency
Replies: 3
Views: 3603

Shortest Proof Mean-Variance Efficiency

You cannot prove: It's not true.You probably mean: mixing efficient Portfolio + risk-free investment. But, the mixture is not on the efficient frontier.
by Darou
August 5th, 2013, 8:27 pm
Forum: Programming and Software Forum
Topic: MatLab code for the LIBOR Market Model needed
Replies: 10
Views: 10313

MatLab code for the LIBOR Market Model needed

<r>A good source which you can cite in a thesis is <URL url="http://computeraidedfinance.com/2013/02/07/financial-modelling-with-matlab-source-a-great-new-book/most"><LINK_TEXT text="http://computeraidedfinance.com/2013/02 ... -book/most">http://computeraidedfinance.com/2013/02/07/financial-modellin...
by Darou
January 9th, 2013, 8:44 am
Forum: Programming and Software Forum
Topic: Office 365
Replies: 2
Views: 9105

Office 365

<t>I use it for a few months now. It feels much like the desktop version of office 2013 including Exchange server. Sometimes I am missing my old VBA or the Excel Plugins... The JavaScript API they offer is not rich enough yet. Office 2013 App API.Currently, I like the collaboration features from Goo...
by Darou
October 9th, 2012, 7:42 pm
Forum: Programming and Software Forum
Topic: Excel tricks
Replies: 109
Views: 19771

Excel tricks

Try Pivot Tables: Back-testing of trading strategies with MS Excel pivot table
by Darou
July 16th, 2012, 11:17 am
Forum: Numerical Methods Forum
Topic: Fastest numerical method to price barrier options?
Replies: 35
Views: 18519

Fastest numerical method to price barrier options?

<t>I cannot tell - in theory, all three methods can have quadratic convergence. And I guess that you will not find a definite answer to this question. ADE and CN are good candidates for high-speed but in many cases Implicit is fast enough and less error prone. The final speed of your implementation ...
by Darou
July 14th, 2012, 9:10 am
Forum: Numerical Methods Forum
Topic: Fastest numerical method to price barrier options?
Replies: 35
Views: 18519

Fastest numerical method to price barrier options?

<t>Ok, for PDE the speed also highly depends on your mesh structure and your boundary conditions. Under some conditions I observed that purely implicit conditions are faster than CN or ADE. Especially, sharp edges like in up-and-out call options can be a problem. So, my advice is that you should do ...
by Darou
July 13th, 2012, 8:26 pm
Forum: Numerical Methods Forum
Topic: Fastest numerical method to price barrier options?
Replies: 35
Views: 18519

Fastest numerical method to price barrier options?

<r>This highly depends on your market model. E.g. for Black-Scholes with constant interest-rate and constant volatility, there are very fast analytic solutions (Up-and-out-barrier option: <URL url="http://www.thetaris.com/wiki/Barrier_Option">http://www.thetaris.com/wiki/Barrier_Option</URL>). Fast ...
by Darou
May 7th, 2012, 7:44 pm
Forum: Student Forum
Topic: PDE-Option Pricing with Matlab
Replies: 6
Views: 13863

PDE-Option Pricing with Matlab

For the American Option, I use the Penalty Method and compare it with the explicit constraint.
by Darou
May 7th, 2012, 7:30 pm
Forum: Student Forum
Topic: PDE-Option Pricing with Matlab
Replies: 6
Views: 13863

PDE-Option Pricing with Matlab

I just finished a mini series on European- American- and Barrier- Option Pricing with Matlab. What else would you like to see in this series? How Can I Price an Option with a PDE Method in Matlab?
by Darou
April 9th, 2012, 9:19 pm
Forum: General Forum
Topic: No touch and other exotic options - resource?
Replies: 7
Views: 16221

No touch and other exotic options - resource?

<r>Uwe Wystrup is very active in the FX area: Here is another paper from him with One-Touch and Double-No_Touch Options: <URL url="http://mathfinance2.com/MF_website/download.aspx?AttachmentRef=30"><LINK_TEXT text="http://mathfinance2.com/MF_website/down ... mentRef=30">http://mathfinance2.com/MF_we...
by Darou
February 20th, 2012, 7:44 pm
Forum: Programming and Software Forum
Topic: Payoff Languages
Replies: 28
Views: 29371

Payoff Languages

<t>We have developed a Payoff Language using ThetaML. ThetaML is a domain specific language for financial mathematics and it allows the separation of market-, payoff- and exercise model. In contrast to most other languages, ThetaML can handle American option features easily. There is a commercial im...
by Darou
February 9th, 2012, 2:27 pm
Forum: Numerical Methods Forum
Topic: Finite Difference American Put Discrete Dividend
Replies: 7
Views: 18010

Finite Difference American Put Discrete Dividend

As for Monte Carlo, this is just a drop in the stock price S:S_(t+) = S(t_-)-D.and you have to ensure that the option price V(S_(t+)) = V(S_(t-)) remains the same. You can do that by shifting your Grid or (e.g. if D depends somewhat on S) by interpolation.I hope that helps!Darou
by Darou
February 9th, 2012, 2:23 pm
Forum: Technical Forum
Topic: Pricing of American options on dividend paying stocks through Montecarlo methods
Replies: 4
Views: 16595

Pricing of American options on dividend paying stocks through Montecarlo methods

For discrete-dividend paying stocks, this is easy: Just introduce a drop of the size of the implied dividend payment D in stock price S: S_(t+) = S_(t-) - DI hope, this helps!Darou
by Darou
February 9th, 2012, 1:59 pm
Forum: Technical Forum
Topic: potential future exposure
Replies: 2
Views: 16444

potential future exposure

<r>You can avoid nested-simulation using our Theta Proxy RM - Potential Future Exposure. This is a clever way using optimized regression for PFE and works with any Monte-Carlo Simulation based pricing. Our case study for a Potential Future Exposure of an American-Asian Option shows a speed-up of sev...
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