Tu build a DLL in Borland C++ free compiler just pass the option -tWD to bcc32 or (if you need a multithread DLL) -tWMbyeaudetto

<t>Does anybody have an idea about hedging worst of digital options?These are options that pay 1 if all the indexes have a positive performance on the reference period.I think one could price them using a copula and getting marginal probability from prices of single index digital options on the same...

<t>I would like to start a quantitative project in Java and I'm wondering if it is worth to.The problem is that I've often heard about a dramatic difference in performances between Java and C++ but I've never tested it.As I'm going to write some MonteCarlo code and PDE schemes, I think that speed wi...

<t>>i think the point is that in commodity models, hedging is done with futures rather than with the underlying. Oil is not liquid enough (in the >financial sense) to carry out delta hedging. I agree that there's no need to use the actual real world drift. you are right, and often sizes for oil cash...

<t>I was reading something about commodity models and I find often that the main model used for them is a one-factor mean reverting one.just like the standard BS, but with a drift equal to a (b-S) dtunder the "risk neutral measure".my question is: why don't we use standard risk neutral modelling, li...

<t>Hi everybody,I'm having a problem with the profiler of MSVC 6.0.I remember that I had to fix an bug in the installation to have the profiler entry on the build menu enabled, but I don't remember how.Now I've installed Visual Studio on a different PC and I don't know how to fix the bug.I think it ...

Hi Anita,would it be possible to receive a copy of your thesis...?here's my address andrea.odetti@bpv.itthanks a lot!ciaoandrea

I can't unerstand how to compute the distribution of the multivariate normal copula.I can't do a 10-dimensional numerical integral...

Maybe you are right... I need normal copula but I have no idea about a numerical procedure tu compute it... I don't think it is an archimedean copula, isn't it?thanksandrea

What is BoundsChecker?

A lot of exceptions.I mean: I use a lot of "throws", "try" and "catch". Could it be a problem?

<t>I did it and it seems that the bad option is "Frame-Pointer Omission" /OyNow, I would like to remove this option not from the entire project but only from some file using #pragma ...but I don't know how to find the point where there is the error. I tried to look at the map file but it is not so e...

it's an optimization error.........I've set in MSVC++ in the optimisation tab "Disable (Debug)" and now my code works very well?what could I do?thankaudetto

<t>Hi,I would like to have your opinion about a strage fact that araises when I try to build a release version of my XLL.In the debug release all works fine, but when I execute the build release I get Access Violation Errors and I don't know how to find the place where the error occurredany ideaaude...

I think that the Reference for Levenberg-Marquardt is in "netlib" www.netlib.org in the packet "minpack" but it is in fortran...