I am looking for books on Numpy and Scipy, with focus on the numerical algorithms and background. I am not interested in having to wade in syntax before getting to these topics. Any suggestions? Thx! Not a book but maybe also interesting if you look at numpy. Take a look at cupy. Lets you run the ...
There's not much original research from universities in this area it would seem. Why? It presupposes some mathematical sophistication e.g. nonlinear analysis/PDE /ODE etc. Inertia, maybe. Research groups (in general..) in universities tend not to venture outside their 'research silos' An exception ...
There's not much original research from universities in this area it would seem. Why? It presupposes some mathematical sophistication e.g. nonlinear analysis/PDE /ODE etc. Inertia, maybe. Research groups (in general..) in universities tend not to venture outside their 'research silos' An exception ...
Are there any commercial or public domain packages shipping the UVM Model (Uncertain Volatility model). So far i havent seen one. I wonder if this is a sign of unpopularity. Or just verndors think there is no buisiness case for this model as project leaders dont like the relative complexity of the m...
berndl, is there a site for 'Available QL "consultants"? Hi Daniel, https://www.quantlib.org/mailinglists.shtml shows a mailing list for "QuantLib-jobs". Goes in both directions (supply, demand). You know of course the ORE guys?! And some well known consultency firms offer also ...
I have had to turn my attention towards quantlib lately, in view of using it as a base for a system in a buy-side context, that is able to handle both valuation, risk, pnl as well as research in time series and scenario context. One important question I am trying to answer for myself, is how I shou...
Yes. For a good book you might find Oksendal Stochastic Differential Equations a nice introduction to stochastic control. BtW. Isnt this a good example for using dl/ml? An agent has to offload a portfolio under certain constraints. What is the optimal policy. Looks like there should be some known c...
There was already a discussion on BCs for convertible bonds PDE. Interest rates can become negative. We transform r to interval (-1,1). The 64 dollar Question is what BC (if any) to specify on y = -1. @berndl @bearish Hi Cuchulainn, Maybe its too mathematical and too far away from modelling asset r...
The usual Assumption is daily returns are independent. The normal assumption comes then from the central limit theorem. Also i think you need some dependence assumption for proving the resulting VaR Measure is in fact coherent. Of course there are simple Examples, where the Var will not be coherent....
Berndl, A few "thinking out loud" questions: I realised that I had a PDE model for HW1 by transforming the real line (positive, negative short rate) to (-1,1). The PDE is fine and I hide the pesky reaction term by using [$]P = Pnew \exp(-rt)[$]. AFAIR the values were OK but will check. T...
Lots of noise here. My comments was directed at the first attachment where you claim to truncate the domains for r and u at 0, and setting the corresponding bond prices P1 and P2 equal to 1. That is entirely inconsistent with a Gaussian interest rate model. I see. So you are saying the PDE should b...
Are these the same terms as in the pdf? One of my quant students solved the Bermudan PDE using about 4 different FD methods in about 2 months before he heads off for UCB (PDE savvy mandatory to get in). I did a few FDM as well for comparison. The schemes are super fast. Next is to compute sensitivi...
Are these the same terms as in the pdf? One of my quant students solved the Bermudan PDE using about 4 different FD methods in about 2 months before he heads off for UCB (PDE savvy mandatory to get in). I did a few FDM as well for comparison. The schemes are super fast. Next is to compute sensitivi...
Sorry, yes! It's Monday. So, you can use the closed to check the numerical solution; what about vice versa? e.g. is there a closed solution for a Bermudan HW2 (Hull-White 2 factor) bond? Problem with NR is that the guess must be 'close' to the real solution. Is it so that some quants eschew PDE/FD...