<t>You can take implied volatility curves and run a PCA on their daily changes to see the typical patterns and even assign some probability to different moves. You can shock your current curves by the first few principal components (alone, together, ...) to see how the position performs. You could p...

I would mention that in the B-S world with a flat volatility for all strikes if you use B-S call Delta as the coordinate then the Vega is symmetric with respect to Delta=0.5.

<t>The exact algorithm depends upon how your cubic spline function is encoded. However it is trivial to compute the integral as the sum of integrals from each interval, since f(x) is simply a0 + a1*x + a2*x^2 + a3*x^3 on every interval thus its integral is F(x) = (a0*x + (a1/2)*x^2 + (a2/3)*x^3 + (a...

awesome

Why not just a 3-d array?matArr = zeros(l,m,n)

Haven't read it but how about thisComputation of copulas by Fourier methods

Read Stock Return Characteristics ... by Bakshi for a mathematical look at the skewness of indices and individual stocks

<t>QuoteOriginally posted by: mjwhat specs would be wanted from an open source implementation?Having built a pricer from scratch for a buy-side firm that also managed CDOs I can offer the following as a starting point for an open source implementation:INPUTS (not all are needed for all purposes)1) z...

<t>It is better to use Ranges for this. Also it is not really necessary to use SolverReset; you can use SolverAdd and SolverDelete to deal with changing constraints much faster. If you search the web you can find a document that outlines the VBA API for Solver. It is not entirely clear what changes ...

<t>Without a doubt learn R. You may also consider Octave as an open-source alternative to Matlab with very similar syntax.Since you mention many types of quant positions, it is hard to say what the proper subset of R is. Take a look at the CRAN Task View: Empirical Finance for an idea of relevant pa...

When conditional default probabilities get small it can cause numerical instability. Try using the "survival tree" instead of the default tree in these cases.

cell formats can be only be changed from within Subs

See the help on using anonymous functions to parameterize functions for use with root-finding, optimization, etc.for i=1:3, f=@(x) normcdf(i-x); ans(i)=quadl(f,0,3); end

Sub macro1()Dim rng1 As RangeSet rng1 = Selectionrng1(1, 1).AutoFill Destination:=Range(rng1(1, 1), rng1(1, 1).End(xlDown))End Sub