SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 289 matches

  • 1
  • 2
  • 3
  • 4
  • 5
  • 20
by unkpath
July 1st, 2010, 3:46 pm
Forum: Technical Forum
Topic: SABR approximations - best practice?
Replies: 105
Views: 71713

SABR approximations - best practice?

<t>please upload the talk by rebonato. interesting thread. you guys really have to say which expansion you are talking about? Is it the normal or lognormal expansion? This is really important, especially in fixed income. I think that academically oriented people consistently misunderstand the import...
by unkpath
June 12th, 2010, 12:56 am
Forum: Book And Research Paper Forum
Topic: Introduction to the Boost C++ Libraries, I
Replies: 18
Views: 39946

Introduction to the Boost C++ Libraries, I

<t>QuoteOriginally posted by: xfxVery interesting. Much better than the previous Boost introduction book I read.wtf? what kind of comment is that? the book probably ain't even written yet, so how can you make that call? anway, with that in mind, I will say that this book is not a bad idea, but it is...
by unkpath
April 3rd, 2010, 2:56 pm
Forum: Technical Forum
Topic: spread option copula implementation
Replies: 0
Views: 29038

spread option copula implementation

<t>I was wondering if anybody has experience with implementing CMS spread option valuation via Gaussian (or other) copula in the presence of smile and cares to share thoughts? I was reading through Barrahoui's paper. What is going on this paper? It seems like a very incomplete write up with lots of ...
by unkpath
February 25th, 2010, 12:05 am
Forum: Technical Forum
Topic: consistent cms spread options
Replies: 7
Views: 35641

consistent cms spread options

did anybody pick this paper up? can you email it to me at unkpathATgmail.com?thanks.
by unkpath
January 11th, 2010, 12:21 am
Forum: Book And Research Paper Forum
Topic: rubinstein's paper
Replies: 4
Views: 34272

rubinstein's paper

I just tried to upload the pdf of this paper for you, but am being given an error message saying that I am not allowed to upload this kind of file. just send me your email address and I will send you the file...
by unkpath
November 27th, 2009, 12:48 am
Forum: Technical Forum
Topic: consistent cms spread options
Replies: 7
Views: 35641

consistent cms spread options

<t>QuoteOriginally posted by: OchoaHas anyone got a copy of the F Goodwin strategy piece that talks about arbs in the spread option market? Apparently he thinks using SABR for spread options is a bad idea. i think it was published either today or yesterday.thanks!can you be more specific? which shop...
by unkpath
November 25th, 2009, 2:16 pm
Forum: Technical Forum
Topic: Stochast/Local Vol LMM
Replies: 61
Views: 54217

Stochast/Local Vol LMM

QuoteOriginally posted by: mjDD is truly trivial to add. It's a no brainer to do this first.what about DD calibration? what about the DD swaption formula? truly trivial?
by unkpath
October 1st, 2009, 12:58 am
Forum: Technical Forum
Topic: MC for SABR process
Replies: 45
Views: 53994

MC for SABR process

<t>hi alan, thanks for your comments, I appreciate it. I would intuitively try some explicit scheme myself, but then the very point of SABR is that it models fat tails. so for far out of the money options, wouldn't that simplistic discretization be a problem in that you wouldn't hit a sufficiently l...
by unkpath
September 23rd, 2009, 8:14 pm
Forum: Technical Forum
Topic: MC for SABR process
Replies: 45
Views: 53994

MC for SABR process

Has anybody worked on Monte Carlo simulations of the SABR process? Is there work documented or published on this somewhere? thanks for your input, nkpth
by unkpath
September 6th, 2009, 10:34 pm
Forum: Programming and Software Forum
Topic: VC++ 2005 vs. gcc/gdb/eclipse/CDT
Replies: 36
Views: 102151

VC++ 2005 vs. gcc/gdb/eclipse/CDT

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: unkpathQuoteOriginally posted by: CuchulainnZmeiThe only thing I know is that the MS C++ compiler VS2005 is one of the most ISO-compliant compilers around. If you don't use the MS extensions then you are fairly sure of writing portab...
by unkpath
September 4th, 2009, 11:22 pm
Forum: Programming and Software Forum
Topic: VC++ 2005 vs. gcc/gdb/eclipse/CDT
Replies: 36
Views: 102151

VC++ 2005 vs. gcc/gdb/eclipse/CDT

<t>QuoteOriginally posted by: CuchulainnZmeiThe only thing I know is that the MS C++ compiler VS2005 is one of the most ISO-compliant compilers around. If you don't use the MS extensions then you are fairly sure of writing portable code.C++ version 6 was more forgiving but porting code from 6 to VS2...
by unkpath
June 15th, 2009, 11:59 pm
Forum: Book And Research Paper Forum
Topic: advice on where to find swap curve building tutorial
Replies: 15
Views: 112148

advice on where to find swap curve building tutorial

<t>QuoteOriginally posted by: untwiggedThe Hagan/West paper discusses some of the attributes a good yield curve interpolation scheme should have.interpolation is only one aspect of curve building, and not a major one in my opinion. You can get an off the shelf solution. If you need a curve set for m...
by unkpath
May 16th, 2009, 1:03 pm
Forum: Careers Forum
Topic: From CS Prof. to Quant
Replies: 217
Views: 69975

From CS Prof. to Quant

edited...I would try to find out as much as possible about that move.
by unkpath
May 1st, 2009, 12:47 am
Forum: Technical Forum
Topic: Pricing Callable Swaps
Replies: 8
Views: 46007

Pricing Callable Swaps

<t>QuoteOriginally posted by: mathmarcQuoteOriginally posted by: miscelania Do you know from any reference books or papers?A standard model to do it is Hull-White one factor (also called extended Vasicek or Gaussian HJM). An efficient implementation of it is proposed in Bermudan Swaptions in Gaussia...
by unkpath
April 29th, 2009, 1:11 am
Forum: General Forum
Topic: Yield Curve
Replies: 10
Views: 43181

Yield Curve

<r>QuoteOriginally posted by: nezumihttp://<URL url="http://www.finmod.co.za/Hagan_West_curves_AMF.pdftotally">www.finmod.co.za/Hagan_West_curves_AMF.pdftotally</URL> outdated, not to mention uri ron, that's even worse. things are on the move in yield curve land and it's a good thing!the best place ...
  • 1
  • 2
  • 3
  • 4
  • 5
  • 20
GZIP: On