<t>Say you have a roll optimised future roll strategy, which invest in a new future every month...The possible future range will be the entire future curve.To value an option on that strategy say in one year, this is not trivial, as you cannot know, on which future the option will expire.Even the im...

Hi,does anyone has the following paper published this year (Journal of complexity):"New Brownian bridge construction in quasi-Monte Carlo methods for computational finance"

<t>QuoteOriginally posted by: arfI got the book, must say it is an comprehensive treatment of the subject. ...thanks...QuoteBack to the Metapost subject. How can I generate Metapost code in C++/C#? I googled but couldn't find anythig. Please any help is welcome!I had a look at my code (which i wrote...

<t>QuoteOriginally posted by: CuchulainnA number of schemes have been advocated for this PDE in x and y(which has the same form as Asian PDE). It is difficult and easy at the same time, depending on how you tackle it:difficult: no diffusion in y, so 3-point centred differences give problems and are ...

<t>Do not think to much of the behaviour of the swaption at your boundary points,rhather think about WHERE you choose your boundary points..Ususally assuming Gamma to be zero at the boundaries is sufficient, i.e. This results in Linear Extrapolation at the boundaries: As i said it is critical where ...

<t>QuoteOriginally posted by: dongtaLet me follow up with a question: In numerical methods, we can only solve the equation from S_min to S_max. What do we put for the BC at S_min and S_max? Thanks.You should not think about to long what kind of boundary condition you apply - assuming gamma=0 as BC m...

<t>Hi,the pictures where drawn by using METAPOST and including those in a regular Latex code...METAPOST is kind of a graphical programming language with a very straightforward and simple syntax and closely related to postscript.here you can find some simple (code) examples where i have started from:...

<t>alright unkpath, i think we all got your point.i think it's nothing to be angry about that i decided to publish that text in book format ( duh! ) - if you think that it's not worth reading, so long - i do think it is.On the other hand, if you want to start an "open-source" finance-book publishing...

<t>Hi,let me say a few words concerning that discussion.QuoteOriginally posted by: unkpath... all that doesn't change the fact that this he is a student who is selling his maters degree workQuoteOriginally posted by: unkpath... the piece is at most academic in style. Yes, the book is based on my dip...

<t>Hi,the book has been published in September 2007 and is available on all german bookstores or on the publisher's website: BoDMeanwhile here is an excerpt from the:Table Of Contents1. Foundations Stochastic Processes SDE’s and Probability Distributions Changing Probability Measures: Girsanov’s The...

<t>PDE Valuation of Interest Rate Derivatives - From Theory to Implementation220 Pages, PaperbackAuthor: Peter Kohl-LandgrafISBN 978-3-8334-9537-3Publisher: BoD GmbH, GermanyAmazon-LinkContentsThe Libor Market Model and its several extensions can be seen as state of the art in interest rate modeling...

<t>Hi,to receive positive local variances with the Dupire formula, you need increasing prices in maturity direction and positive second derivatives (positive density values)..With an smoothing algorithm (cubic spline interpolation) i achieve arbitrage free prices over strikes.The problem is the inte...

<t>my answer might not help very much...but i had the same problems, when reading the remark about arbitrage violations...Probably one might be able to proof some general result concerning convexity within that interpolation...this would be interesting.I am not quite sure, why you're having problems...

Hi,actually it can be ordered on a german Book-Sales-Page - called www.libri.de, or also the publishing company "Books on Demand" www.bod.de(also send you a private message concerning that topic)

<t>using hjm SDE directly introduces the problem of numerical instabiliities called "log-normal" explosion...as far as i know there is one good reference, which explains the problem on one page:M. Avellaneda and P. Laurence. "Quantitative Modeling of Derivative Securities", page 248.Furthermore it c...