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by QuantBit
March 21st, 2008, 1:53 pm
Forum: Numerical Methods Forum
Topic: RNG bias in Sobol correlated sequences
Replies: 4
Views: 59390

RNG bias in Sobol correlated sequences

<t>QuoteOriginally posted by: outrunThe Sobol sequences fill the hypercube with low discrepancy, which is different than keeping the mean to zero.A solution would be to duplicate the results of iii & multiply them with -1, genenerating two random sample vectors out of each Sobol draw (antithetic...
by QuantBit
May 2nd, 2007, 1:19 pm
Forum: Programming and Software Forum
Topic: Lookback Option and C#
Replies: 22
Views: 76565

Lookback Option and C#

Large Numbers
by QuantBit
May 2nd, 2007, 12:48 pm
Forum: Technical Forum
Topic: Question about Malliavin weights
Replies: 2
Views: 72655

Question about Malliavin weights

Perhaps you find this paper by Glasserman interesting.Malliavin Greeks Without Malliavin Calculus
by QuantBit
April 2nd, 2007, 9:47 am
Forum: Programming and Software Forum
Topic: FX Option Pricing using Monte Carlo Simulation
Replies: 1
Views: 75631

FX Option Pricing using Monte Carlo Simulation

Not that I'm an FX expert but could you elaborate a bit? :-)
by QuantBit
March 22nd, 2007, 12:18 pm
Forum: Numerical Methods Forum
Topic: Milstein vs Euler
Replies: 23
Views: 100106

Milstein vs Euler

<t>QuoteIrrespective of which norm is used (pointwise errors are useful) it is so that the schemes in the original post are disappointing. Maybe I've coded it incorrectly...Cuch, may I ask some questions?Have you found a discretization for Heston which didn't disappoint you?What Heston parameters di...
by QuantBit
February 15th, 2007, 10:25 am
Forum: Book And Research Paper Forum
Topic: Knuth Vol 4 Fascicle 2
Replies: 3
Views: 80911

Knuth Vol 4 Fascicle 2

Latest work are pre-fascicles 0b 0c and 1a which can be found here.
by QuantBit
October 24th, 2006, 11:49 am
Forum: Programming and Software Forum
Topic: c++ socket library
Replies: 13
Views: 91905

c++ socket library

<t>For the record, I just noticed ACE also supports Linux's epoll, albeit with the still experimental Dev_Poll_Reactor. EDIT: I just checked with the developers. Here's what they say:QuoteACE_Dev_Poll_Reactor is fully functional and supported with Linuxepoll. It has not been as well exercised with /...
by QuantBit
October 24th, 2006, 9:42 am
Forum: Programming and Software Forum
Topic: c++ socket library
Replies: 13
Views: 91905

c++ socket library

<t>QuoteIn the employ's perspective, will they value the BSD socket programming skills more or they like to see the familarity with certain package like ACE. I'd say a basic understanding of BSD sockets is always necessary. This was so in the RPC days and I don't see why it should have changed. When...
by QuantBit
October 24th, 2006, 9:32 am
Forum: Programming and Software Forum
Topic: c++ socket library
Replies: 13
Views: 91905

c++ socket library

<t>QuoteOriginally posted by: dibbleQuoteOriginally posted by: QuantBitWe're using ACE and just started using the less bulky libevent.I just had a quick look at libevent. When you say it is less bulky, do you mean that it has a lot less bells and whistles, but it does have the bells and whistles tha...
by QuantBit
October 23rd, 2006, 3:44 pm
Forum: Programming and Software Forum
Topic: c++ socket library
Replies: 13
Views: 91905

c++ socket library

We're using ACE and just started using the less bulky libevent.
by QuantBit
October 23rd, 2006, 3:41 pm
Forum: Programming and Software Forum
Topic: c++ socket library
Replies: 13
Views: 91905

c++ socket library

<t>ACE has a big user community which includes industry and finance:Here are three finance examples from the previous link:"ACE is used for a global limiting system at Credit Suisse, Zurich, Switzerland.""Bear Stearns utilizes ACE in Risk Analysis Control System (RACS) to facilitate its server/clien...
by QuantBit
October 23rd, 2006, 11:59 am
Forum: Student Forum
Topic: Barrier Crossing Relationships
Replies: 1
Views: 90018

Barrier Crossing Relationships

BS diffusion is exponential. Any suggestion why this is not so for the models you're using?Vague wording alert: Jump diffusion produces fat tails but still is locally exponential, isn't it?
by QuantBit
October 23rd, 2006, 11:52 am
Forum: Numerical Methods Forum
Topic: Integrating a function of random normal variable
Replies: 3
Views: 90791

Integrating a function of random normal variable

Monte Carlo and even better, Quasi-Monte Carlo, should also work. Especially when your x has many dimensions.
by QuantBit
October 23rd, 2006, 11:47 am
Forum: Technical Forum
Topic: Pricing with deterministic local volatility
Replies: 1
Views: 90365

Pricing with deterministic local volatility

<r>We're using Finite Differences. All standard methods work fine for us. That is Explicit, Fully Implicit and Crank Nicolson. Sorry Cuch, have not yet gotten around to implement Exponential Fitting <E>;-)</E>.Problems we're having from time to time is exploding or complex Local Volatility when usin...
by QuantBit
October 10th, 2006, 1:48 pm
Forum: Numerical Methods Forum
Topic: Sort the data of a moving window
Replies: 9
Views: 93341

Sort the data of a moving window

The number of reads per window matters. If the number of reads is very big, you want a data structure that is fast to read, like an array or vector. If the number of reads is small, a tree structure is preferable because it is updated faster.
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