<t>Perhaps it's the same. Can you recommend a good reference on the subject of bootstrapping quantiles? I haven't been able to pull up a good introduction searching online. QuoteOriginally posted by: PanniniIs "computing quantiles of a distribution using Monte Carlo simulation" different from bootst...

Does Tullett Prebon not have these?

<t>Yes, it certainly depends on the number of samples. I am looking for bounds such as Chebychev's inequality, which, for the mean, gives a bound on a the likelihood that the estimator error is greater than a certain threshold, explicitly computed based on the variance, the error threshold, and the ...

<t>Can anyone provide insights on computing quantiles of a distribution using Monte Carlo simulation? I'm mainly interested in what convergence bounds are available (for any approach) and in the existence of non-standard algorithms (such as the one discussed in the paper by Dagum, Karp, Luby and Ros...

<t>As I remember, you'll get problems if you use linear interpolation. The bloomberg cap screen will also provide caplet vols, which are useful if you just need some quick numbers to test your model. Note that they are not so smoothly interpolated, so you'll probably want to eventually generate your...

I'm looking into computing the delta on a deal-contingent option. What might be the best way to go about this?

<t>Has anyone had any success implementing a constrained optimization approach whereby we minimize the sum of squared jumps in the forward curve while constraining the solution to satisfy the bootstrapping constraints? It seems that this nonlinear optimization problem should work well and provide a ...

<t>I've taken, TA'd and taught a number of courses dealing with linear algebra, and I would say that it completely depends on the specific course. From my experience, some are painfully simple, some are much too theoretical for what you want, others are focused on the minutia of computer implementat...

<t>This is a standard linear programming problem. The simplest solution is the Simplex algorithm, although interior point methods can also be used. There are numerous freeware and comercial solvers available. In terms of literature, Chvatal wrote a good book on the subject, but you'll find plenty of...