I get the autocorrelation rho for a time series data with lag 1. How do I test the null, rho = 0 for 95% confidence interval.

I am proficient in C++ and love coding in C++ as well. I did check the CUDA links below but I am surprised it was designed for C. Why not C++?

I want to get started with GPU programming. Where should I begin?

What is the recommended book to use for understanding options, greeks and developing an intuitive understanding. I am already in a Math Finance program so do plenty of math. I want to develop an intuition.

<t>I read here on some thread that for extrapolation on IV surface that I have generated, I need to extrapolate S - K exp(-rT) so what should I try to extrapolate with as a pair S/K or T i.e. should I make pairs like [S - K exp(-rT), S/K] or [S - K exp(-rT), T]. I am doing this as an academic exerci...

<t>So, what is the simplest model that I can fit and avoid arbitrage. Can you please provide any relevant link that comes to your mind as well. Please bear in mind that this is an academic exercise and it does not have to be fancy but should be enough to help me learn the concept. I have to implemen...

<t>So, if I understand it correct, the simplest technique of parametrization is linear interpolation, then quadratic and then higher order polynomials. But in each of these cases how do I make sure that there is no arbitrage? Let's say I have generated the volatility surface for strikes 25, 30, 35, ...

I might be wrong but people talk about calibration as the step after parametrization. Why is it so?

<t>I have an academic assignment for building volatility surface in c++. I was wondering if someone can explain the basic process to it.So far I understand I have to do the following:(1) Using given option data, generate IV data for various strikes and maturity combination. I have figured out this p...

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<t>After digging through MSDN and seeking example from a number of other codes available I have finally created a snippet which compiles but does not run. The kind of error are like exception handling and access violation.Here is what I have:----------------------------------------------------------...

Yes your idea works. Thanks!

<t>I am trying to learn integration of Excel and C++. I am not able to figure out why I get error:Run-Time Check Failure #3 - The variable 'pvariant' is being used without being initialized.when trying to use the following piece of code:VARIANT* pvariant;VariantInit(pvariant);The error is on the sec...

Thank you guys. This is the kind of lead I was looking for. I am going to now learn SAFEARAAYS and try to design my problem from there.

<t>QuoteIs this a WS specific function or is a interop issue between C++ vectors and Excel data structure?If I understand you right and if my current level of knowledge can see all aspects of your statement: this is a WS specific function issue.In very simple language I would say I am trying to use ...