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by JaiBajrang
February 3rd, 2011, 9:18 pm
Forum: Student Forum
Topic: Hypothesis testing of autocorrelation
Replies: 1
Views: 20612

Hypothesis testing of autocorrelation

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.
by JaiBajrang
November 22nd, 2010, 2:17 am
Forum: Student Forum
Topic: GPU Programming
Replies: 14
Views: 23342

GPU Programming

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++?
by JaiBajrang
November 21st, 2010, 4:24 pm
Forum: Student Forum
Topic: GPU Programming
Replies: 14
Views: 23342

GPU Programming

I want to get started with GPU programming. Where should I begin?
by JaiBajrang
November 17th, 2010, 8:37 pm
Forum: Student Forum
Topic: Book for Understanding Options
Replies: 4
Views: 22227

Book for Understanding Options

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.
by JaiBajrang
November 16th, 2010, 6:02 pm
Forum: Student Forum
Topic: Understanding Volatility
Replies: 11
Views: 26908

Understanding Volatility

<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...
by JaiBajrang
October 26th, 2010, 10:39 am
Forum: Student Forum
Topic: Understanding Volatility
Replies: 11
Views: 26908

Understanding Volatility

<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...
by JaiBajrang
October 23rd, 2010, 5:24 pm
Forum: Student Forum
Topic: Understanding Volatility
Replies: 11
Views: 26908

Understanding Volatility

<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, ...
by JaiBajrang
October 5th, 2010, 9:33 am
Forum: Student Forum
Topic: Understanding Volatility
Replies: 11
Views: 26908

Understanding Volatility

I might be wrong but people talk about calibration as the step after parametrization. Why is it so?
by JaiBajrang
October 4th, 2010, 11:49 pm
Forum: Student Forum
Topic: Understanding Volatility
Replies: 11
Views: 26908

Understanding Volatility

<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...
by JaiBajrang
April 5th, 2010, 9:39 pm
Forum: General Forum
Topic: z
Replies: 1
Views: 28519

z

z
by JaiBajrang
March 10th, 2010, 11:40 pm
Forum: Programming and Software Forum
Topic: Array in Worksheet Functions STDEV (Excel in C++)
Replies: 6
Views: 35935

Array in Worksheet Functions STDEV (Excel in C++)

<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:----------------------------------------------------------...
by JaiBajrang
March 10th, 2010, 11:27 pm
Forum: Programming and Software Forum
Topic: VARIANT errors
Replies: 2
Views: 29974

VARIANT errors

Yes your idea works. Thanks!
by JaiBajrang
March 10th, 2010, 4:47 pm
Forum: Programming and Software Forum
Topic: VARIANT errors
Replies: 2
Views: 29974

VARIANT errors

<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...
by JaiBajrang
February 16th, 2010, 1:42 am
Forum: Programming and Software Forum
Topic: Array in Worksheet Functions STDEV (Excel in C++)
Replies: 6
Views: 35935

Array in Worksheet Functions STDEV (Excel in C++)

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.
by JaiBajrang
February 13th, 2010, 3:57 pm
Forum: Programming and Software Forum
Topic: Array in Worksheet Functions STDEV (Excel in C++)
Replies: 6
Views: 35935

Array in Worksheet Functions STDEV (Excel in C++)

<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 ...
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