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by Sebster
March 7th, 2007, 11:58 am
Forum: Numerical Methods Forum
Topic: finding quantiles using Monte Carlo
Replies: 6
Views: 81966

finding quantiles using Monte Carlo

<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...
by Sebster
February 5th, 2007, 2:50 pm
Forum: Technical Forum
Topic: Inflation seasonality sources
Replies: 8
Views: 82540

Inflation seasonality sources

Does Tullett Prebon not have these?
by Sebster
February 2nd, 2007, 6:48 am
Forum: Numerical Methods Forum
Topic: finding quantiles using Monte Carlo
Replies: 6
Views: 81966

finding quantiles using Monte Carlo

<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 ...
by Sebster
January 26th, 2007, 8:50 am
Forum: Numerical Methods Forum
Topic: finding quantiles using Monte Carlo
Replies: 6
Views: 81966

finding quantiles using Monte Carlo

<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...
by Sebster
January 8th, 2007, 9:02 am
Forum: Student Forum
Topic: Multiple Factor Libor Market Model
Replies: 8
Views: 85036

Multiple Factor Libor Market Model

<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...
by Sebster
March 2nd, 2006, 1:30 pm
Forum: Technical Forum
Topic: Computing Delta on Deal Contingent Options
Replies: 2
Views: 116899

Computing Delta on Deal Contingent Options

I'm looking into computing the delta on a deal-contingent option. What might be the best way to go about this?
by Sebster
November 3rd, 2005, 3:48 pm
Forum: Student Forum
Topic: Yield Curve Interpolation
Replies: 44
Views: 207640

Yield Curve Interpolation

<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 ...
by Sebster
November 2nd, 2005, 8:33 pm
Forum: Student Forum
Topic: Linear Algebra
Replies: 11
Views: 132021

Linear Algebra

<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...
by Sebster
July 25th, 2005, 3:27 pm
Forum: Student Forum
Topic: Linear algebra / optimization question
Replies: 7
Views: 141720

Linear algebra / optimization question

<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...