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by JediQuant
June 2nd, 2008, 1:55 pm
Forum: Numerical Methods Forum
Topic: Heston - Monte Carlo - Result dependent of the number of steps chosen?
Replies: 13
Views: 61628

Heston - Monte Carlo - Result dependent of the number of steps chosen?

<r>QuoteOriginally posted by: spursfanwhy are you humouring this guy? - garbage in, garbage outboth piterbarg and Cuchulainn have pointed to the Leif Andersen paper (and indeed I've written some VBA code in one of my Wilmott columns)He is just being nice to a student. We should be pleased to have su...
by JediQuant
June 2nd, 2008, 1:32 pm
Forum: Numerical Methods Forum
Topic: Heston - Monte Carlo - Result dependent of the number of steps chosen?
Replies: 13
Views: 61628

Heston - Monte Carlo - Result dependent of the number of steps chosen?

<t>QuoteOriginally posted by: CuchulainnNo problem. The more posts the merrier You are saying that if the underlying becomes negative in path generation then make it == 0? If so, this is anathema to a numerical analyst. Ugh!Many use Euler, that's true. But there is more... If you look at my recent p...
by JediQuant
June 2nd, 2008, 12:39 pm
Forum: Numerical Methods Forum
Topic: Heston - Monte Carlo - Result dependent of the number of steps chosen?
Replies: 13
Views: 61628

Heston - Monte Carlo - Result dependent of the number of steps chosen?

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: quartzThat looks like an Euler discretization... Without using the exact solution (which would take quite some more effort to code) it would then be really odd to obtain the same result for different step refinements. Just histogram ...
by JediQuant
June 2nd, 2008, 12:30 pm
Forum: Numerical Methods Forum
Topic: Specral Decomposition of a large matrix
Replies: 10
Views: 57162

Specral Decomposition of a large matrix

<t>QuoteOriginally posted by: AlanMaybe some kind of sector/industry model would be better; certainly more feasible.What are you planning to do with these 4000 time series if you could generate them?Alan,My application is purely time series. I have fitted a model (with a certain correlation structur...
by JediQuant
May 26th, 2008, 8:19 pm
Forum: Numerical Methods Forum
Topic: Specral Decomposition of a large matrix
Replies: 10
Views: 57162

Specral Decomposition of a large matrix

<r>QuoteOriginally posted by: PolterI think it's simple to just use Cholesky decomposition for this. Check here for example in R:<URL url="http://astrostatistics.psu.edu/su07/R/mv.htmlStill">http://astrostatistics.psu.edu/su07/R/mv.htmlStill</URL>, R has plenty of packages which have this functional...
by JediQuant
May 26th, 2008, 4:33 pm
Forum: Numerical Methods Forum
Topic: Specral Decomposition of a large matrix
Replies: 10
Views: 57162

Specral Decomposition of a large matrix

My goal is to use the decomposition to generate a multivariate Gaussian random vector with my X matrix as its covariance. Unless I am mistaken, this is the standard way to do this.BTW, I tried the symmetric=TRUE part...however, my computer crashed..so I guess its not gonna work!
by JediQuant
May 26th, 2008, 12:50 pm
Forum: Numerical Methods Forum
Topic: Specral Decomposition of a large matrix
Replies: 10
Views: 57162

Specral Decomposition of a large matrix

<t>Thanks for the suggestion. I am indeed using eigen(X)..I haven't tried symmetric=TRUE. The R help thingie says:symmetric: if 'TRUE', the matrix is assumed to be symmetric (or Hermitian if complex) and only its lower triangle is used. If 'symmetric' is not specified, the matrix is inspected for sy...
by JediQuant
May 26th, 2008, 11:32 am
Forum: Numerical Methods Forum
Topic: Specral Decomposition of a large matrix
Replies: 10
Views: 57162

Specral Decomposition of a large matrix

<t>I have a variance covariance matrix which is of a high dimension...4000x4000. I am using R and trying to do a spectral decomposition..however, due to the size of the matrix R reports memory issues and is unable to do it. I was wondering whether there is a way for me to do this.. perhaps by breaki...
by JediQuant
May 26th, 2008, 11:26 am
Forum: Numerical Methods Forum
Topic: ARFIMA - ARFIMA FIGARCH
Replies: 2
Views: 57736

ARFIMA - ARFIMA FIGARCH

The standard reference for long memory processes is the book by Beran. Check out Brockwell and Davis (Time Series: Theory and Methods) as well. They have a section devoted to this as well....as far as my memory takes me.
by JediQuant
April 25th, 2008, 10:50 pm
Forum: Technical Forum
Topic: Bayesian MCMC vs. Optimal Filtering for stochastic volatility?
Replies: 10
Views: 58303

Bayesian MCMC vs. Optimal Filtering for stochastic volatility?

<t>QuoteOriginally posted by: mizhaelQuoteOriginally posted by: JediQuantApologies for the intrusion..here's a related question from me...:I have recently acquired myself Javaher's book, 'Inside Volatility Arbitrage'. I must say the book has proved to be really useful and is quite beautifully writte...
by JediQuant
April 25th, 2008, 10:44 pm
Forum: Technical Forum
Topic: Bayesian MCMC vs. Optimal Filtering for stochastic volatility?
Replies: 10
Views: 58303

Bayesian MCMC vs. Optimal Filtering for stochastic volatility?

<t>Many thanks for your comments Rez! I agree with what you said about particle filters probably will turn out to be as good/crap as anything else with randomly chosen starting values. In fact, Javaheri does do alot of simulation exercises and does demonstrate that one doesn't always get parameters ...
by JediQuant
April 23rd, 2008, 10:58 am
Forum: Technical Forum
Topic: Bayesian MCMC vs. Optimal Filtering for stochastic volatility?
Replies: 10
Views: 58303

Bayesian MCMC vs. Optimal Filtering for stochastic volatility?

<t>Apologies for the intrusion..here's a related question from me...:I have recently acquired myself Javaher's book, 'Inside Volatility Arbitrage'. I must say the book has proved to be really useful and is quite beautifully written.My question is whether anyone here has implemented any of the partic...
by JediQuant
April 21st, 2008, 11:29 am
Forum: Student Forum
Topic: Implementing particle filters from Javaheri's book...
Replies: 3
Views: 55826

Implementing particle filters from Javaheri's book...

Hey Yoda! What up dude?
by JediQuant
April 21st, 2008, 11:08 am
Forum: Student Forum
Topic: Implementing particle filters from Javaheri's book...
Replies: 3
Views: 55826

Implementing particle filters from Javaheri's book...

<t>Hey folks!I have recently acquired myself Javaher's book, 'Inside Volatility Arbitrage'. I must say the book has proved to be really useful and is quite beautifully written. My question is whether anyone here has implemented any of the particle filters he gives for estimating jump diffusions with...
by JediQuant
August 21st, 2006, 5:20 pm
Forum: Careers Forum
Topic: c++ courses
Replies: 18
Views: 97091

c++ courses

QuoteOriginally posted by: dj99bDepends on where you are in the world !Yep, my bad! I forgot! lol. I am in London :-)Thanks alot for your input guys. I have already spent money on Joshi's book...so, I think as a start I will set a timetable to work through this in my spare time. JQ.
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