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by gkalman
September 8th, 2008, 8:35 pm
Forum: Numerical Methods Forum
Topic: Hybrid Heston Hull-White calibration in Quantlib
Replies: 0
Views: 52810

Hybrid Heston Hull-White calibration in Quantlib

<t>I tried using calibration examples in Quanlib on more realistic data and am having all sorts of non-sensical results. E.g., negative option values, etc.All I did was follow the examples in the test suite, merged the Hull-White and HybridHestonHullWhite into one function and replaced the data with...
by gkalman
January 9th, 2008, 6:06 pm
Forum: The Quantitative Finance FAQs Project
Topic: Mathematica vs Matlab vs Maple, discuss
Replies: 81
Views: 267200

Mathematica vs Matlab vs Maple, discuss

<t>Isn't the real question not how fast one inverts a matrix, but more in terms of interpretive execution speeds?I.e., both Matlab and Mathematica have a precompiled routine for doing it underneath. (Most likely both use some enhanced version of BLAS.) I think all you really tested there is which co...