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by DoubleTrouble
January 27th, 2016, 5:45 pm
Forum: Technical Forum
Topic: Gauthier's Smart Parameters for Heston Calibration
Replies: 2
Views: 1861

Gauthier's Smart Parameters for Heston Calibration

Thanks for your input Alan. I also read about the same method in this book in chapter 6 - Starting Values. So I figured there's got to be something to it, and I'm interested in know what! :)Maybe I could just e-mail Gauthier if no one here at Wilmott can figure it out.
by DoubleTrouble
January 25th, 2016, 10:37 pm
Forum: Technical Forum
Topic: Gauthier's Smart Parameters for Heston Calibration
Replies: 2
Views: 1861

Gauthier's Smart Parameters for Heston Calibration

<t>Hi all,I'm trying to generate good start values for my Levenberg-Marquardt solver and while Googling I found Gauthier's Smart Parameters (Link). The method has been mentioned a couple of times here on the forum as well.What I don't understand about the article is the following. It seems as they o...
by DoubleTrouble
December 17th, 2014, 9:29 pm
Forum: Numerical Methods Forum
Topic: Hull & White [$]\vartheta[$] and numerical differentiation
Replies: 10
Views: 5265

Hull & White [$]\vartheta[$] and numerical differentiation

<t>QuoteOriginally posted by: bearishA general principle that works particularly well for simple Gaussian models (but is always worth considering) is to focus on the solution of the SDE rather than the SDE itself and to focus on zero coupon bond prices rather than short rates and/or forward rates. I...
by DoubleTrouble
December 17th, 2014, 9:17 pm
Forum: Numerical Methods Forum
Topic: Hull & White [$]\vartheta[$] and numerical differentiation
Replies: 10
Views: 5265

Hull & White [$]\vartheta[$] and numerical differentiation

<r>QuoteOriginally posted by: AlexEroSeveral "industrial engineering" methods of numerical differentiation are described here:"Smooth noise-robust differentiators"<URL url="http://www.holoborodko.com/pavel/numerical-methods/numerical-derivative/smooth-low-noise-differentiators/That"><LINK_TEXT text=...
by DoubleTrouble
December 17th, 2014, 9:16 pm
Forum: Numerical Methods Forum
Topic: Hull & White [$]\vartheta[$] and numerical differentiation
Replies: 10
Views: 5265

Hull & White [$]\vartheta[$] and numerical differentiation

<r>QuoteOriginally posted by: EngyQuoteOriginally posted by: CuchulainnArtur Sepp has written something on this (a topic that I think bearish is referring to)Numerical Implementation ofHull-White Interest Rate Model:Hull-White Tree vs Finite DifferencesArtur SeppThere are anyways two nasty issues th...
by DoubleTrouble
December 14th, 2014, 6:49 pm
Forum: Numerical Methods Forum
Topic: Hull & White [$]\vartheta[$] and numerical differentiation
Replies: 10
Views: 5265

Hull & White [$]\vartheta[$] and numerical differentiation

<t>Hi,I'm trying to implement a Finite Difference solver for the Hull & White extended Vasicek model (following the notation of Brigo & Mercurio):[$]dr(t) = \left[ \vartheta(t) - a r(t) \right]dt + \sigma dW(t)[$]where [$]\vartheta[$] is chosen to be (in order to get a perfect fit of the yie...
by DoubleTrouble
November 27th, 2014, 1:52 pm
Forum: Student Forum
Topic: Fundamental FX Delta question
Replies: 2
Views: 3526

Fundamental FX Delta question

<t>QuoteOriginally posted by: acastaldoWell, the S&P is at 2000 now. That it should be 2200 in 1 week is unlikely yes? But 2200 in 1 year is not very far away. So both options are 200 points (or 10%) out of the money in terms of strike but the short term one is farther out of the money in terms ...
by DoubleTrouble
November 20th, 2014, 10:18 pm
Forum: Student Forum
Topic: Fundamental FX Delta question
Replies: 2
Views: 3526

Fundamental FX Delta question

<t>Hi!I'm currently reading Iain Clark's book Foreign Exchange Option Pricing and I got stuck at one sentence in the beginning of Section 3.3 that I feel is important to understand. He writes:Quote FX volatility smiles are characterized by providing volatilities, not as a function of strike, but as ...
by DoubleTrouble
February 14th, 2013, 10:26 am
Forum: Careers Forum
Topic: Topic suggestion for P.hD. in mathematics
Replies: 23
Views: 11463

Topic suggestion for P.hD. in mathematics

<t>QuoteOriginally posted by: AntonioDear DoubleTrouble,In Imperial, you get your own desk, sharing a room with other PhD students. The size of the room may vary though.The research environment is very nice: a fairly large group in mathematical finance and stochastic analysis, quite active (research...
by DoubleTrouble
February 13th, 2013, 10:50 pm
Forum: Careers Forum
Topic: Topic suggestion for P.hD. in mathematics
Replies: 23
Views: 11463

Topic suggestion for P.hD. in mathematics

<t>Thank you all for the comments and inputs so far! Now I am about finished with my application letter for the ph.d position at my current university. Please bear in mind that I intentionally left it a bit less formal than I would at another university. English is not my mother tongue so I would be...
by DoubleTrouble
February 12th, 2013, 1:20 pm
Forum: Careers Forum
Topic: Topic suggestion for P.hD. in mathematics
Replies: 23
Views: 11463

Topic suggestion for P.hD. in mathematics

<t>QuoteOriginally posted by: quantstartQuoteOriginally posted by: DoubleTroubleQuoteOriginally posted by: quantstartQuoteOriginally posted by: DoubleTroubleAt the moment my main choice is Imperial College in London. I have good knowledge about some of the professors at Imperial, since I cited their...
by DoubleTrouble
February 12th, 2013, 1:17 pm
Forum: Careers Forum
Topic: Topic suggestion for P.hD. in mathematics
Replies: 23
Views: 11463

Topic suggestion for P.hD. in mathematics

<t>QuoteOriginally posted by: CuchulainnI think it is better to write 'dear sir or madam' than text in previous post if you want some response from the persons addressed.QuoteOriginally posted by: ppauperindeed, they might take it as a death threatOh my I didn't even realize that I made a typo until...
by DoubleTrouble
February 11th, 2013, 10:35 pm
Forum: Careers Forum
Topic: Topic suggestion for P.hD. in mathematics
Replies: 23
Views: 11463

Topic suggestion for P.hD. in mathematics

Thank you Cuchulainn and Alan for your suggestions. I will finish my Application letter and in the end decide upon the greeting phrase.
by DoubleTrouble
February 10th, 2013, 4:33 pm
Forum: Careers Forum
Topic: Topic suggestion for P.hD. in mathematics
Replies: 23
Views: 11463

Topic suggestion for P.hD. in mathematics

<t>QuoteOriginally posted by: quantstartQuoteOriginally posted by: DoubleTroubleAt the moment my main choice is Imperial College in London. I have good knowledge about some of the professors at Imperial, since I cited their work in my thesis, and read many of their articles. However, I realize that ...
by DoubleTrouble
January 27th, 2013, 9:55 pm
Forum: Careers Forum
Topic: Topic suggestion for P.hD. in mathematics
Replies: 23
Views: 11463

Topic suggestion for P.hD. in mathematics

<t>QuoteOriginally posted by: quantstartI would first ask yourself whether you want to have a career in academia subsequent to your PhD. Will you be happy on the "post-doc train" until you become assistant professor? 5 years is a significant investment of your life and you will need to factor in you...
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