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by jherekhealy
June 5th, 2020, 12:46 pm
Forum: Student Forum
Topic: Heston test suite
Replies: 18
Views: 7982

Re: Heston test suite

Thanks for the clarifications Alan.

I have created a small Julia package if anyone needs reference numbers of option prices under Heston with a high accuracy.

https://github.com/jherekhealy/CharFuncPricing.jl
by jherekhealy
June 4th, 2020, 5:17 pm
Forum: Student Forum
Topic: Heston test suite
Replies: 18
Views: 7982

Re: Heston test suite

I don't think that the reference prices on the blog are accurate to all digits stated. I tried a Julia implementation of the cos method, using arbitrary precision real and complex balls, and end up with 7.9588781132567682852132606076142930308986569372596 for strike 80. The error with the table is -2...
by jherekhealy
June 4th, 2020, 9:59 am
Forum: Student Forum
Topic: Control variate for heston model
Replies: 1
Views: 7974

Re: Control variate for heston model

This is somewhat old, but I can, share a few results presented in my book in the context of LV:
* some simple candidates are forward price or atm option.
* the discretization in time error may impact the choice of control variate. The forward price control variate is good in this sense.
by jherekhealy
October 3rd, 2019, 9:35 am
Forum: Numerical Methods Forum
Topic: Smoothing splines (clamped spline)
Replies: 35
Views: 10901

Re: Smoothing splines (clamped spline)

You are a bit harsh on Wystup. There is the notion of smoothing kernel in maths: https://en.wikipedia.org/wiki/Kernel_smoother
Although I agree that his method is really a Gaussian RBF interpolation, as he chooses the weights to pass exactly through the points.
by jherekhealy
September 26th, 2019, 8:36 am
Forum: Numerical Methods Forum
Topic: Smoothing splines (clamped spline)
Replies: 35
Views: 10901

Re: Smoothing splines (clamped spline)

The use of kernels to model the RND (risk neutral density) is well known in the litterature, especially, a mixture of lognormals leads to a simple linear combination of Black-Scholes formulas. Wystup kernel method is a bit stranger, as I think it is applied to vols in delta directly. The implied den...
by jherekhealy
July 21st, 2019, 10:13 pm
Forum: Numerical Methods Forum
Topic: Smoothing splines (clamped spline)
Replies: 35
Views: 10901

Re: Smoothing splines (clamped spline)

Yes, the BFIT routine of de Boor will do what you're after. FYI, this is part of the NSWC Fortran library https://raw.githubusercontent.com/jacob ... src/nswc.f
by jherekhealy
January 8th, 2019, 8:36 pm
Forum: Book And Research Paper Forum
Topic: Best Options Books Today
Replies: 4
Views: 7731

Re: Best Options Books Today

I can recommend my book ;), "Applied Quantitative Finance for Equity Derivatives", which you can find in hardback on Lulu or in paperback on Amazon, see this thread.
by jherekhealy
January 3rd, 2019, 3:21 pm
Forum: Book And Research Paper Forum
Topic: New book "Applied Quantitative Finance for Equity Derivatives"
Replies: 4
Views: 4408

Re: New book "Applied Quantitative Finance for Equity Derivatives"

For 2019, I have published a new edition of my book, in hardback on Lulu or in paperback on Amazon.

This second edition adds new arbitrage-free implied volatility interpolations, and covers various warrants, such as CBBCs. The text has also been slightly updated.
by jherekhealy
May 28th, 2018, 6:57 pm
Forum: Book And Research Paper Forum
Topic: Digital format book for math, still and issue?
Replies: 11
Views: 1395

Re: Digital format book for math, still and issue?

Kindle is bad, but PDF is good as digital format.

Wouldn't python notebooks (jupyter) be more appropriate than wolfram cdf? Python notebooks are very common in the scientific community and do not rely on proprietary software.
by jherekhealy
May 19th, 2018, 6:05 pm
Forum: Book And Research Paper Forum
Topic: New book "Applied Quantitative Finance for Equity Derivatives"
Replies: 4
Views: 4408

New book "Applied Quantitative Finance for Equity Derivatives"

This is a small ad for my new book "Applied Quantitative Finance for Equity Derivatives", which you can find on amazon . I think it is relevant to other people looking at wilmott, since the book presents the most significant equity derivatives models used these days. It is not a book around esoteric...
by jherekhealy
March 30th, 2018, 11:43 am
Forum: Technical Forum
Topic: CMS Convexity challenge
Replies: 0
Views: 974

CMS Convexity challenge

I am trying to reproduce the numbers of the paper " Smiling at convexity: bridging swaption skews and CMS adjustments " by Mercurio and Pallavicini, in the simple case (Black), but I don't manage to. I tried the 10y tenor. I consider quarterly payments for both legs of the CMS swap (delta=0.25) and ...
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