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by mj
July 16th, 2013, 12:02 am
Forum: Programming and Software Forum
Topic: C++ étude
Replies: 20
Views: 11237

C++ étude

when I made the xlw interface generator, I wrote a limited parser for C++ in C++. It was kind of fun.
by mj
July 7th, 2013, 1:34 am
Forum: Technical Forum
Topic: Pricing callable and (togheter) putable bonds
Replies: 10
Views: 9296

Pricing callable and (togheter) putable bonds

<r>generally if both parties can terminate a contract on a given then it will be advantageous for one of them to do so. The contract then essentially becomes a forward and rather trivial to price. If there is an assymmetry in the pay-off, the contract becomes more interesting. You might find our pap...
by mj
June 12th, 2013, 9:44 am
Forum: Student Forum
Topic: question on regression in least squares monte-carlo
Replies: 4
Views: 7411

question on regression in least squares monte-carlo

LS say that you don't need a second pass but most people think it is wise to do one.I think it assumed that you run enough paths to have some in the money. If being in the money at a given date really is so rare that none come up then assuming non-exercise at that time won't do any harm.
by mj
May 27th, 2013, 9:33 am
Forum: Student Forum
Topic: Definition of Greeks
Replies: 4
Views: 32901

Definition of Greeks

probably just bump the implied vol surface up by 1%
by mj
May 2nd, 2013, 11:41 pm
Forum: Technical Forum
Topic: heston - piecewise constant mean reversion
Replies: 2
Views: 8128

heston - piecewise constant mean reversion

you get Riccati equations for A and B which are solvable.
by mj
April 29th, 2013, 3:36 am
Forum: Student Forum
Topic: Order of Authors
Replies: 12
Views: 7930

Order of Authors

<t>In mathematics it's always alphabetical. If you publish as first author and you are later in the alphabet, your egotism will be sneered at. In financial maths, you get some people from different traditions who use different conventions. Generally, in maths your name only goes on the paper if your...
by mj
April 24th, 2013, 9:58 pm
Forum: Book And Research Paper Forum
Topic: Mark Joshi's Book On Interview Questions, A review
Replies: 6
Views: 70463

Mark Joshi's Book On Interview Questions, A review

The second edition is now available from amazon.com
by mj
April 18th, 2013, 9:42 am
Forum: Technical Forum
Topic: BGM IRP validation
Replies: 2
Views: 8134

BGM IRP validation

make sure it prices all the caplets and zero coupon bonds correctly.
by mj
April 16th, 2013, 1:01 am
Forum: Book And Research Paper Forum
Topic: Mark Joshi's Book On Interview Questions, A review
Replies: 6
Views: 70463

Mark Joshi's Book On Interview Questions, A review

We are expecting to release the second edition in May. It has about another 75 questions including quite a few on C++ and many probability brainteasers.The first edition has been withdrawn from sale.
by mj
April 16th, 2013, 12:49 am
Forum: Numerical Methods Forum
Topic: Heston model, convergent or not?
Replies: 22
Views: 11850

Heston model, convergent or not?

If you cache tables for the inverse cumulative function, then it is a very fast method. We didn't spend time investigating alternatives. I intend to avoid acceptance-rejection because of instability with Greeks and it not meshing well with low discrepancy numbers.
by mj
April 11th, 2013, 12:54 am
Forum: Numerical Methods Forum
Topic: Heston model, convergent or not?
Replies: 22
Views: 11850

Heston model, convergent or not?

This is a typo yes.You can generate any random variable by inverting the cumulative distribution function. You can invert any monotone function by the method of bisection. There's not much more to say.
by mj
April 11th, 2013, 12:51 am
Forum: Student Forum
Topic: Bermudan Options
Replies: 22
Views: 192467

Bermudan Options

deeply in the money, the value would be like S_T - K so delta would one and deeply out it would be zero, so it would have to be in between everywhere.
by mj
April 10th, 2013, 9:47 am
Forum: Student Forum
Topic: Bermudan Options
Replies: 22
Views: 192467

Bermudan Options

an alternate approach might be that the value is convex and so the second derivative is positive.
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