<t>I made the following simple implementation of Singleton. I know that Double-Checked Locking (DPL) may fail in theory, but using a temp variable I have never experienced any problem (I use the Intel C++ compiler on Windows).I use the singleton pattern for my issue logger like Singleton<IssueLog>::...

<t>You miss two things: the weightening by cutting the tails and a multiplication by two at the end. Please, see below.Best regards, Peterl = -10;u = 10;T = 512;dx = (u-l)/T;n = [0:T-1];x = (l)+n*dx; %my pdf x'st = [0:1:T-1];s_t = 2*pi*t/(T*dx); %my s's for the Gaussian characteristic functionmu = 0...

<t>In case of Poisson, you use one uniform random number and the inverse Poisson CDF (poissinv) to simulate the total number of jumps until the maturity, then you use so many uniform random numbers as many jumps you have in total in order to simulate the jump arrival times that are uniformly distrib...

<t>humtumiit, if you want to do it from VC++, then I propose you to connect to your database through ODBC using libodbc++. This is also what I do.After the extraction and making some preprocessing you may put the data towards to MATLAB using the MEX functionalities.However, if you really need the da...

<t>If you can accept the Brownian assumption about the world as approximation, then you can consider asianing as basket of fixings and simply apply the quanto adjustment on your forward prices at the fixing dates. In this case you can easily derive the correlation between different fixings and diffe...

<t>What about to use the Expectation Maximization technique to calibarte the jump-diffusion parameters, and then use this set of parameters to split up the jump-diffusion density into the diffusion density and into the jump density? The proportion of the two densities should give then a filtration r...

<t>In MATLAB working with vectors looks like that:function call = Levy(Fwd, Weight, Vol0, Corr, TTM, DF, Strike)% Levy, E. (1992) Pricing European average rate currency options. Journal% of International Money and Finance, 11, 474-491.%% function call = Levy(Fwd, Weight, Vol0, Corr, TTM, DF, Strike)...

<t>KludgeDude, I access my data stored in SQL databases through ODBC. In my C++ toolkit I use the libodbc++ library for this purpose. It is a quite simple library and easy to use. Basically, I do not loose time or precision with data transfers. The SQL query is as quick as your database server, whil...

Based on Google: http://www.javaquant.net/papers/castagn ... -volga.pdf

<r>ALGLIB provides one solution at <URL url="http://www.alglib.net/specialfunctions/incompletegamma.phpIn"><LINK_TEXT text="http://www.alglib.net/specialfunctions/ ... amma.phpIn">http://www.alglib.net/specialfunctions/incompletegamma.phpIn</LINK_TEXT></URL> order to get the inverse of the gamma(a,b...

<t>Hello Cuchulainn,my experience is that the standard discretization works better than the BB, if you have a derivative payoff which is hardly sensitive to the last simulated fixing, but rather to some earlier fixings.A simple vanilla call depends only on the last simulated fixing, so the BB techni...

For this problem I am used to apply the Expectation Maximization technique either.However, I found a nice trick in Honoré, P. (1998) Pitfalls in Estimating Jump-Diffusion Models. The trick helped me to avoid the stability problem by the estimation.Peter

<t>Concerning the original question, does this even make sense to calibrate local volatility model to American options? I mean the American option is about forward probability distributions, while the local volatility model (as it is from 1994) is only about unconditional probability distributions.I...

<t>Hi Paul,what you have to know about the Turnbull-Wakeman and the Levy approaches that they approximate the distribution of the arithmetic basket by a lognormal distribution. However, we know that the sum of lognormal randoms is not lognormal, but if these lognormal randoms are highly correlated w...

<t>Dear All,I should price European quanto options with present of asset volatility smile but with flat FX volatility. (Here, quanto would mean an option on an asset denominated in a foreign currency with an associated predetermined exchange rate.)As far as I saw, the literature discusses the quanto...