<t>the question is the following: if the market implied vol curve is flat, and say you know this guy who uses a stochastic vol model to price the options, how do you trade with him to pick him off? i.e. there is an arbitrage opportunity trading with him.My thoughts are if he uses a stochastic vol, e...

What are some of the modeling issues faced by emerging market quants?

<t>I experienced the same problem with Stensland. Just want to point out the peril in using this model. If you are managing an option book that has alot of American option positions, it will be very dangerous to manage delta using this model. As the underlying moves around, and your positions move f...

<t>In my personal opinion, Oksendal is one of those oddities which are a little too light for mathematicians, but a little too heavy for non-mathematicians. Especially the chapters on properties of diffusion processes, and link with PDEs tend to be a bit sketchy at times. Overall though I suggest th...

<t>hi, all,A question to a seasoned dba. Does anyone of you know the answer to the following question:The Micro-Kernel database engine writes logs to mkdemsg.log and mkdemsg.trn These files keep increasing on the server, getting to the point where the hard disk is nearly full. However, I have tried ...

<t>I truly believe if your sole motivation is to make "big bucks", then don't be a quant. You have got to have some genuine interest in the math quants do. don't let the 300k trick you. You have got to work so hard and be really good at what you do, coz fresh phds are coming out every year wanting e...

goto http://www.ics.forth.gr/~lourakis/levmar/I have used Levenberg-Marquardt of nonlinear least square of relatively few variables. The algorithm is proven to be robust and efficient.

If you have come across More effective C++ by Scott Meyer. Refer to Item 30- proxy classes.

<t>"In my limited experience they are excellent for some problems but are very problem specific & need tuning,there isn't a universal proof that claims that these would find the global optimum every time you run them."Completely agree on quantie's above statement. Just to add, this is why GA/neu...

<t>Have you tried Levenberg-Marquardt ? All deterministic optimizers are local in the sense that if the initial guess is too far from the actual minimum, it may not converge. A popular algorithm is to mix up deterministic algorithm like L-M with stochastic algorithm such as simulated annealing. Let ...

<t>I have a question concerning COM programming. I am putting together a COM wrapper on top of a C++ DLL. One of the public methods in my COM interface has a parameter which is of a pointer type to a user defined class. Now the IDL does not allow data type outside of the standard ones to be a parame...

thanks Gamanti,it is very helpful.

<t>Hi, all,A question concerning single stock futures. It seems to me the main problem in pricing them is the forecasting of dividend. Depending on each company's dividend paying frequency and ex-dividend, one can forecast their subsequent ex-dividend dates, but that is not going to be very precise....

Have a look at AMPL. It is a modeling language. Also, check out http://neos.mcs.anl.gov/neos/

email me your questions. I will try to help out.yuanche@hotmail.com