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by erain
November 15th, 2007, 11:30 pm
Forum: Numerical Methods Forum
Topic: Can anybody recommend a book about calibrating models?
Replies: 0
Views: 63180

Can anybody recommend a book about calibrating models?

<t>I wonder are there any good books or papers talking about calibrating various models such as short rates, forward rates, equity volatility, yield volatility, ... and copula models.How industry people estimate parameters? Do they really write down the MLE optimization problems? Do they really impl...
by erain
November 14th, 2007, 10:38 pm
Forum: Student Forum
Topic: Need book advice for a beginner
Replies: 5
Views: 63795

Need book advice for a beginner

<r>QuoteOriginally posted by: mji've listed a detailed program of self study on <URL url="http://www.markjoshi.comOh">www.markjoshi.comOh</URL>, are you the author of a book talking about c++ design pattern and derivatives pricing. That's a wonderful work. By the way, I found most books never connec...
by erain
November 14th, 2007, 10:19 pm
Forum: Technical Forum
Topic: Best Practice MC-VaR for Exotic Equity Derivatives?
Replies: 4
Views: 63801

Best Practice MC-VaR for Exotic Equity Derivatives?

<t>I am not sure why you only plug vega into the portfolio change value model. One thing I have done in a course project is use Beta Gamma (which is from BS formula) and may be Vega as well to approximate the portfolio change, the underlying changes are modeled by correlated student t. The correlati...
by erain
November 14th, 2007, 7:57 am
Forum: The Quantitative Finance FAQs Project
Topic: How can I simulate correlated random numbers?
Replies: 34
Views: 324702

How can I simulate correlated random numbers?

<t>QuoteOriginally posted by: exotiqThe Cholesky method is probably the most literally correct, and assumes you have a correct correlation matrix. Problem in reality is the correlation matrices give you far more parameters than you can ever hope to estimate with any fair degree of reliability and st...
by erain
November 14th, 2007, 7:50 am
Forum: The Quantitative Finance FAQs Project
Topic: How can I simulate correlated random numbers?
Replies: 34
Views: 324702

How can I simulate correlated random numbers?

<t>1. correlation and dependence are different. Correlation only captures the linear dependence, or the first order dependence. Dependence can be described by joint distribution and all cross moments (1 to infinite)2. two way to generate correlated samples based solely on marginal distributions and ...
by erain
November 12th, 2007, 4:33 pm
Forum: Book And Research Paper Forum
Topic: Help on London's new book "Modeling derivatives applications in Matlab, C++, and Excel"
Replies: 2
Views: 64144

Help on London's new book "Modeling derivatives applications in Matlab, C++, and Excel"

<r>I borrowed this book from our library. However the "access code" to visit the online materials of this books was missing. So could anybody here share the access code to me? Or, if you have downloaded these files, could you please share them with me? I would like to share my e-books in quantitativ...
by erain
November 11th, 2007, 9:13 pm
Forum: General Forum
Topic: How to delete this post
Replies: 4
Views: 62740

How to delete this post

this is a test. sorry, how to delete it? thanks