I got the answer: Videos are online at https://www.cqfinstitute.org/video-seri ... rence-2020 for the next few days.

The conference was really great. I enjoyed it very much. Sadly, I missed the first few talks. Does anyone know how to access the "video on demand"?

<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...

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.

<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...

<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...

Try Pivot Tables: Back-testing of trading strategies with MS Excel pivot table

<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 ...

<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 ...

<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 ...

For the American Option, I use the Penalty Method and compare it with the explicit constraint.

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?

<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...

<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...

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