<t>The book is realy pure rubbish for theses reasons:1) She copied many C++ code lignes without any explaination (most of codes implemented are copied from maters thesis , acadimic papers and quantlib library....).2) All codes are not well coded, when you read this book you have the impression that ...

Hi madmax (naouf)tell him your opinion about this bank ?comment va le ouf ? a+

Hi,Does anyone know where I can find the JPMorgan article : "Just What You Need To Know About Variance Swaps" , Bossu, E. Strasser, R. Guichard, JPMorgan EquityThanks

<t>Hi,function MCSpreadOption(CallPutFlag, S1, S2, X, T, r, b1, b2, v1, v2, rho , nSimulations)%% Monte Carlo Simulation Spread Options% Key words: finance, option valuation, Monte Carlo simulation%% % Application: Monte Carlo Simulation of Spread Option Values:%% The MCSpreadOption function can be ...

Hi,Does anyone have this paper Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations -would you mind posting it?Thanks in advance

another ay to compute this variance:

<t>I have implemented PDE pricing of a vanilla call by using a function of local volatility so:I suppose that we have implied volatility function that fit the market very well:Implied_volatility(K,T)=T/100+19%+(15%/sqrt(T))*((0.01*K)^(-0.3)-1)By using Dupire’s formula i can obtain the local volatili...

<t>I have implemented PDE pricing of a vanilla call by using a function of local volatility so:I suppose that we have implied volatility function that fit the market very well:Implied_volatility(K,T)=T/100+19%+(15%/sqrt(T))*((0.01*K)^(-0.3)-1)By using Dupire’s formula i can obtain the local volatili...