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by mj
February 27th, 2014, 9:38 pm
Forum: Programming and Software Forum
Topic: Convert C++ to GPU
Replies: 12
Views: 5803

Convert C++ to GPU

rand() is hard but using the curand library functions to get the same effect is easy.
by mj
February 27th, 2014, 9:35 pm
Forum: Programming and Software Forum
Topic: Convert C++ to GPU
Replies: 12
Views: 5803

Convert C++ to GPU

Take a look at my project: kooderive.sourceforge.netI am such a consultant possibly.
by mj
February 3rd, 2014, 10:12 pm
Forum: Student Forum
Topic: Qs on Concepts & Practice of Mathematical Finance
Replies: 2
Views: 5501

Qs on Concepts & Practice of Mathematical Finance

<r>you might find this thread helpfulhttp://<URL url="http://www.wilmott.com/messageview.cfm?catid=19&threadid=4296Reading"><LINK_TEXT text="www.wilmott.com/messageview.cfm?catid=1 ... 296Reading">www.wilmott.com/messageview.cfm?catid=19&threadid=4296Reading</LINK_TEXT></URL> the rest of the...
by mj
January 30th, 2014, 10:34 pm
Forum: Programming and Software Forum
Topic: Kooderive
Replies: 14
Views: 8349

Kooderive

I have now done a paper on Kooderivehttp://ssrn.com/abstract=2388415I have also done a new release to tune the code for the Tesla K20.140 times speed up for a 40 rate cancellable swap using a five factor LMM.
by mj
January 28th, 2014, 10:58 pm
Forum: Technical Forum
Topic: Price option where underlying has cap and a floor
Replies: 25
Views: 8150

Price option where underlying has cap and a floor

presumably it costs to store the natural gas. What about liquidity? If the price is at the cap, are participants forced to sell at that price or can they just say no?
by mj
January 28th, 2014, 10:33 pm
Forum: Student Forum
Topic: Price of a down-and-out call in terms of European call
Replies: 4
Views: 5583

Price of a down-and-out call in terms of European call

I do the down and out in detail in my book Concepts and Practice etc using Girsanov's theorem.
by mj
January 26th, 2014, 12:18 am
Forum: Student Forum
Topic: Choice of numeraire
Replies: 6
Views: 6345

Choice of numeraire

<t>O is the thing we want to price. eg the option. We choose a numeraire N. Find a measure so that A/Nis a martingale for all non-derivative assets A. We then define O_s/N_s = E ( O_T / N_T | F_s)this makes O_s/N_s a martingale via the tower law. So we now have that A_s/N_s for all assets including ...
by mj
January 22nd, 2014, 12:03 am
Forum: Student Forum
Topic: Choice of numeraire
Replies: 6
Views: 6345

Choice of numeraire

<t>QuoteOriginally posted by: Coolman86I have a question about choice of numeraire and a process that must be a martingale.Consider simple Black-Scholes model, where usually money market account B is a numeraire. It is connected with spot martingale measure Q. We must also ensure that under Q, the d...
by mj
January 21st, 2014, 11:59 pm
Forum: Book And Research Paper Forum
Topic: Joshi Portfolio Theory
Replies: 1
Views: 6552

Joshi Portfolio Theory

well, i have...It's written at a lower level than the other books for better or worse.
by mj
October 7th, 2013, 10:12 pm
Forum: Technical Forum
Topic: Swaption Price using LMM via the forward measure
Replies: 2
Views: 7113

Swaption Price using LMM via the forward measure

that doesn't look like a Milstein discretization. It looks more like log-Euler. You would have to be careful to make sure the random numbers are properly generated and properly correlated. I'd advise using predictor-corrector rather than Milstein if you want a good drift approximation.
by mj
October 7th, 2013, 10:09 pm
Forum: Technical Forum
Topic: Real options - real or risk-neutral process for Longstaff-Schwartz option valuation
Replies: 3
Views: 6810

Real options - real or risk-neutral process for Longstaff-Schwartz option valuation

<r>I don't have much experience with real options but plenty with using least-squares for early exercise.First, you have to decide what measure and discounting is appropriate for this real option problem. Suppose the early exercise feature waseasy (or wasn't there at all) what measure and discountin...
by mj
September 23rd, 2013, 11:43 pm
Forum: Programming and Software Forum
Topic: hey can anyone help me with my c++ prg.
Replies: 51
Views: 195347

hey can anyone help me with my c++ prg.

try deleting the const before fstream
by mj
September 20th, 2013, 1:45 am
Forum: Programming and Software Forum
Topic: Kooderive
Replies: 14
Views: 8349

Kooderive

They give hardware to professors via their professor partnership program.
by mj
September 18th, 2013, 11:06 pm
Forum: Programming and Software Forum
Topic: Kooderive
Replies: 14
Views: 8349

Kooderive

Well, I heard of CUDA first and gave it a go... Plus NVIDIA very generously support my research since I do CUDA.I do use thrust a lot.
by mj
September 17th, 2013, 4:14 am
Forum: Programming and Software Forum
Topic: Kooderive
Replies: 14
Views: 8349

Kooderive

<t>Kooderive is reaching usable form. It's an open source library for pricing derivatives using GPUs. I've put up a tentative 0.1 release.It requires CUDA 5.5 , BOOST.There's quite a bit in there but the flagship example is pricing a 40 rate cancellable swap with 320K firstand second pass paths usin...
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