Thanks Alan,And do you have a view on the 2nd question I raised via analytic continuation being invoked to obtain the transform for complex s?

<t>Hello, I have 2 questions regarding the numerical inversion of Laplace transforms. Apologies if I seem somewhat pedantic ...(1) The inversion formula (Bromwich integral) requires all singularities of the transform to lie to the left of the imaginary axis over which the integration is performed. H...

Well you can use the information you obtain from the LSM lower bound estimator as an input to the dual technique for upper bounds. See paper by Haugh and Kogan in Operations Researh. Or see Glasserman's Monte-Carlo book for a description.

<t>Thanks Alan, I agree with all of your comments below. I was looking for a reference where I could find the exact form of the non-central chi-squared distribution for ST. But interestingly enough any time I actually found such a reference, there was always some ambiguity / awkwardness with the res...

<t>Hello,Does anyone know a reference describing the exact simulation of a CEV process? (I'm not interested in Euler or other approximate schemes). ALternatively, I'm looking for the distribution at time T of a stock price that follows a CEV process. Glasserman's book points out that the CEV process...

<t>Hello,I'm justing starting off in the fx options market and have found the convention for quoting options prices to be very confusing. It seems to focus on ATM options, 25 delta risk reversals and 25 delta butterflys etc where the convention for ATM and 25 delta etc is (to me at least) ambiguous....

<t>Quick question: I am wondering what the industry "standard" is for pricing European options on single stocks. Since only American options on single stocks trade in the market, only American implied vols are available. My understanding is that the American implied vols are simply plugged into Blac...

Are you insane? That book is a serious piece of junk, typos or not.

THere is a long technical book by Meucci, published within the last year or 2 by Springer.

<r>The Columbia MSFE program has become considerably more technical in the last year and many of the FE students this year have received trading positions. (You need to be very careful interpreting comments from people that reflect the status quo of 2 or 3 years ago.) For example, check out the mate...

The Columbia MSFE program has become considerably more technical in the last year and many of the FE students this year have received trading positions. (You need to be very careful interpreting comments from people that reflect the status quo of 2 or 3 years ago.)

Monte carlo lectures are available online at http://www.columbia.edu/~mh2078/MCS04.html