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by mj
January 25th, 2016, 9:52 pm
Forum: Technical Forum
Topic: CVA
Replies: 11
Views: 2925

CVA

We have a new way of computing CVA. I'd be interested in any commentshttp://ssrn.com/abstract=2717250
by mj
December 9th, 2015, 4:19 am
Forum: Numerical Methods Forum
Topic: Heston - Reference Prices
Replies: 37
Views: 22488

Heston - Reference Prices

thanks.My cos method pricer is agreeing with you to 6 decimal places so I guess it works!
by mj
December 8th, 2015, 10:20 pm
Forum: Numerical Methods Forum
Topic: Heston - Reference Prices
Replies: 37
Views: 22488

Heston - Reference Prices

This thread is very useful.One thing I have found is that small $T$ and small $V_0$ render the problem challenging.Would it be possible to get some reference prices with $T=V_0 =0.01$ ?
by mj
August 3rd, 2015, 9:40 am
Forum: Numerical Methods Forum
Topic: Heston - MC scheme respecting vol of Var
Replies: 4
Views: 6131

Heston - MC scheme respecting vol of Var

have you tried our method? http://ssrn.com/abstract=1617187How do you know that the other methods are wrong?
by mj
June 11th, 2015, 9:42 am
Forum: Programming and Software Forum
Topic: sample cuda problems in finance
Replies: 143
Views: 53034

sample cuda problems in finance

<t>the development took place over 3 years but it was only a small fraction of what I was doing. I taught several subjects, wrote two books, did a fair amount of admin and wrote several papers on other topics at the same time. I haven't detected enough interest to get motivated about writing a book ...
by mj
May 24th, 2015, 12:23 am
Forum: Programming and Software Forum
Topic: sample cuda problems in finance
Replies: 143
Views: 53034

sample cuda problems in finance

indeed threads in the same half-warp are essentially in a SIMD architecture situation.
by mj
May 23rd, 2015, 3:12 am
Forum: Programming and Software Forum
Topic: sample cuda problems in finance
Replies: 143
Views: 53034

sample cuda problems in finance

<r>sorry to be a bit late to the conversation.I have implemented Monte Carlo pricing of IRD with the LMM on the GPU with least-squares for early exercise features.You can get the code from kooderive.sourceforge.net in both C++ and CUDA. The paper is at <URL url="http://ssrn.com/abstract=2388415I">ht...
by mj
April 2nd, 2015, 1:45 am
Forum: Student Forum
Topic: Volatility in Jump Diffusion Model
Replies: 3
Views: 3732

Volatility in Jump Diffusion Model

Calibration and measure change are too different things. I was referring to the fact that when we pass to an equivalent measure the volatility cannot change. When we calibrate we change measures but the measures are not equivalent.
by mj
April 2nd, 2015, 1:42 am
Forum: Technical Forum
Topic: Run-time of BGM to Price 30Y PRDCs
Replies: 2
Views: 3271

Run-time of BGM to Price 30Y PRDCs

well for a single currency BGM for a similar case, I can do 1 million paths in about a second on the GPU. I'd expect the PRDC to take 3 times as long. So for your case 0.75 seconds.
by mj
April 2nd, 2015, 1:40 am
Forum: Technical Forum
Topic: Missing upper bound for option prices in the Bachelier model
Replies: 11
Views: 3921

Missing upper bound for option prices in the Bachelier model

The big difference is that in any model where the stock cannot go negative is that$$0 \leq (S_T-K)_{+} \leq S_T$$so the price of the option must be between $0$ and $S_t$ at time $t.$In the Bachelier model, the stock price can go below the pay-off so the inequality doesn't hold.
by mj
April 2nd, 2015, 1:35 am
Forum: Numerical Methods Forum
Topic: how to hedge a barrier option
Replies: 5
Views: 5090

how to hedge a barrier option

<t>one way to reduce the risk is to hold two vanilla options one with pay-off equal to the barrier option's pay-off, the other shorted with pay-off equal to that of the original geometrically reflected in the barrier. The idea is that if that is done right the two options have equal value at the bar...
by mj
December 22nd, 2014, 2:29 am
Forum: Careers Forum
Topic: updated job hunting article
Replies: 0
Views: 4185

updated job hunting article

<r>I have done a more recent article on getting a quant job.<URL url="https://www.financejobs.co/development/how-to-get-a-quant-job-in-finance.html"><LINK_TEXT text="https://www.financejobs.co/development/ ... nance.html">https://www.financejobs.co/development/how-to-get-a-quant-job-in-finance.html<...
by mj
October 14th, 2014, 10:12 pm
Forum: Numerical Methods Forum
Topic: I have a c code for Sobol sequence generation
Replies: 13
Views: 56953

I have a c code for Sobol sequence generation

have done any tests for the LMM? eg a TARN cf the examples in More Mathematical Finance.Are the Sobol 16384 numbers available? it would be good to get them in QuantLibNB Joe and Kuo corrected their numbers at some point. I think the ones in QuantLib are the pre-correction ones.
by mj
August 15th, 2014, 2:34 am
Forum: Technical Forum
Topic: CDS price sensitivity wrt LGD
Replies: 3
Views: 3947

CDS price sensitivity wrt LGD

we didn't do LGDs but for most other sensitivities, there are better ways:http://ssrn.com/abstract=1689348
by mj
August 15th, 2014, 2:32 am
Forum: Student Forum
Topic: Barrier Option with Monitoring at Maturity
Replies: 13
Views: 4664

Barrier Option with Monitoring at Maturity

well for reasonable jumps, you can just write the final pay-off as a lipschitz function plus a sum of digitals. As you observed, it works for digitals so it should work for anything reasonable which pays f(S_T) in the BS model.
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