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by reemashah
November 20th, 2018, 10:35 am
Forum: Numerical Methods Forum
Topic: Difference between pricing a closed form and finite difference method whilst pricing liquid CDS portfolio
Replies: 9
Views: 5436

Re: Difference between pricing a closed form and finite difference method whilst pricing liquid CDS portfolio

@bearish To reword the question: We have two systems one for trading and another for pricing. We are trying to integrate pricing system into our trading system so that we have one source for pricing and risk. Our trading system uses Finite difference method to calculate the scenarios for risk and P...
by reemashah
November 19th, 2018, 2:21 pm
Forum: Numerical Methods Forum
Topic: Difference between pricing a closed form and finite difference method whilst pricing liquid CDS portfolio
Replies: 9
Views: 5436

Difference between pricing a closed form and finite difference method whilst pricing liquid CDS portfolio

What is the difference between pricing a closed form and finite difference method whilst pricing liquid CDS portfolio?

Can anyone share any articles which are not too mathematical intensive and can explain the differences?
by reemashah
November 19th, 2018, 11:29 am
Forum: Numerical Methods Forum
Topic: Difference between pricing using closed form and finite difference method whilst pricing liquid CDS portfolio
Replies: 0
Views: 4069

Difference between pricing using closed form and finite difference method whilst pricing liquid CDS portfolio

What is the difference between pricing a closed form and finite difference method whilst pricing liquid CDS portfolio?

Can anyone share any articles which are not too mathematical intensive and can explain the differences?