<t>Another obsolete book. You will find all relevant information in the boost documentation and already available books by honorable authors. Needless to say that applying is better than just reading.On the other hand it is great writing a book for understanding a topic for the author himself.In add...

<t>I have a 8800GTS (96 processors / 384MB).Doing a MC simulation of a local volatility process and putting the local vol into texture memory I found a speedup of 130. This compared to similar code on one CPU of my core2duo@2.4GHz. The code on the CPU was not performance tuned, though. Using the tex...

Peter,some authors opt for calibrating the mean reversion by matching the prices of bermundan swaptions to "bigger" model like a libor market model. Cheers Michael

woul you mind telling us about the hardware and setup you used?Cell seems to be a nice project to play around with.Cheers Michael

<t>Hi,I am looking for a function calculating the inverse of the cumulative non-central chi-squared distribution.I googled for a solution but did only find some commerical implementations and a Newton-Raphson kind approach (which is not exceptionally fast). Anybody came across a suitable implementat...

<t>Hi Alan,I had the same problems when simulation a Heston kind of model. I also found Broadie and Kaya's paper and found that just sampling the variance process from a non-central chisquare distribution directly will do the job. For smaller vol of varaince the usual Euler discretization should wor...

<t>QuoteOriginally posted by: BenchyHi,and now, if we had stochastic vol (let's say simple brownian motion, such as HW 1987). Is there a closed form ?There is a paper by Bakshi et.al. "Empirical Performance pf Alternative Option Pricing Models" The Journal of Finance Dec. 1997 exploring something li...