<t>I thought that neither CFA nor university degree can guarantee a job. But a degree in finance (quant finance / math finance) gives a good background for an analyst. Anything practical can only be learnt by working in the industry. And CFA can only be a supplement when working for a bankbest regar...

No, i have not heard about this method - could you give me the reference to article about it (or maybe c++ code). looking thru the web did not give good results. Thanks

1000 iterations

<t>Hi all!I have a problem with implementation numerical schemes for backward equations (FBSDE). I try to describe it hoping that maybe some of you came across similar problems and got rid of them.I try to price a contingent claim by means of the abovementioned technic. The solution should by the fu...

<t>Oh yes, you're right. thank you for comment. i agree but this is are only hedging problems. The interesting point would be to answer if bsde can be helpful in maximizing returns, for example. And because i do not have practical experience i do not know whether this theory realy helps quants in ri...

you can find sth in the following paper:http://www.princeton.edu/~yacine/stochvol.pdfgood luck

I would relate it to stochastic volatility concepts when one tries to model volatility parameter as another diffusion with volatility coefficient. There are many papers about it.

I would suggest you look at R. It gave me some flaxibility in estimationg garches.best regards

<t>thanks, i know some works of touzi. However - not belittling it of course - it is theoretical. In fact i am looking for application. Most problems are solved by menas of dyn programing. There are good numerical methods for them. But bsdes seem to me more intuitive in num implementations. I know e...

hi everybody!have you heard about optimal portfolio problems solved by means of backward stochastic differential equations?thanks gregh

<t>Hi to everybody!I would like to ask you whether you have heard about practical application of forward-backward SDEs in finance. I mean whether these innovative theory realy helps practitioners or it still remains the field for scientists (like me partially who is doing phd)?thank you very muchgre...

<t>Hi to everybody!I would like to ask you whether you have heard about practical application of forward-backward SDEs in finance. I mean whether these innovative theory realy helps practitioners or it still remains the field for scientists (like me partially who is doing phd)?thank you very muchgre...