SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by ntruwant
December 31st, 2007, 2:21 pm
Forum: Programming and Software Forum
Topic: good C++ learning strategy?
Replies: 19
Views: 62768

good C++ learning strategy?

<t>QuoteOriginally posted by: dirtydroogTake the C++ classses in the book and translate them to Java.Why would you prefere Java dirtydroog? I think from Java:- you cannot make a dll to use for example in Excel?- is slower than C++?I am a big fan of Java, but the above arguments made me interested in...
by ntruwant
December 31st, 2007, 10:55 am
Forum: Programming and Software Forum
Topic: good C++ learning strategy?
Replies: 19
Views: 62768

good C++ learning strategy?

<t>Hi,I don't know C++, but I am very familiar with Java and software engineering principles.I am going through London's book about derivatives in C++ and have the following c++ learning strategy: take the different classes from Quantlib, try to understand the C++ with the help of Eckel's book and b...
by ntruwant
July 25th, 2007, 5:37 am
Forum: Book And Research Paper Forum
Topic: The concepts and practice of mathematical finance
Replies: 165
Views: 221123

The concepts and practice of mathematical finance

I have now almost completely read the "Concepts and practise" and I think it is very good, i.e. clearly written, detailed but not too detailed (e.g. no representation theorems)
by ntruwant
June 21st, 2007, 5:44 am
Forum: Student Forum
Topic: complex numbers
Replies: 8
Views: 70496

complex numbers

thanks ppauper!
by ntruwant
June 20th, 2007, 10:12 am
Forum: Student Forum
Topic: complex numbers
Replies: 8
Views: 70496

complex numbers

thanks blacksheep!When I google this, I see it has something to do with the convergence of the Fourier series, but I don't get the lemma.Can you say this term dissapears because of the Riemann-Lebesgue's lemma?
by ntruwant
June 20th, 2007, 8:07 am
Forum: Student Forum
Topic: complex numbers
Replies: 8
Views: 70496

complex numbers

Thanks Zedr0n!It's for the Fourier transform that is used in the Heston model. It transforms differentiation into multiplication.When you integrate by parts, you obtain a term that is f(x) * exp(ix y) and this term vanishesat + en - infinity.Does anybody know why this term vanishes?
by ntruwant
June 20th, 2007, 5:31 am
Forum: Student Forum
Topic: complex numbers
Replies: 8
Views: 70496

complex numbers

Hicould anybody help me with exp(ix) where i²=-1. Can you tell that it is 0 at x=+infinity and x=-infinity and why?thanks!
by ntruwant
June 7th, 2007, 8:16 am
Forum: Technical Forum
Topic: Optimal Funding strategy
Replies: 1
Views: 70653

Optimal Funding strategy

no funding specialists out there?
by ntruwant
June 4th, 2007, 10:14 am
Forum: Technical Forum
Topic: Optimal Funding strategy
Replies: 1
Views: 70653

Optimal Funding strategy

Does anybody know if there exist papers on the relation between the average life of loans,prepayment,... and the optimal funding strategy?Thanks!
by ntruwant
October 20th, 2006, 9:23 am
Forum: General Forum
Topic: Credit risk
Replies: 2
Views: 90191

Credit risk

This is certainly not boring! There are a lot of different models out there, just look for "economic capital" and "credit risk" in google.Difficult to say which model is best suited
by ntruwant
October 12th, 2006, 10:06 am
Forum: Technical Forum
Topic: calibrating CreditRisk+ model (economic capital) for retail
Replies: 1
Views: 90714

calibrating CreditRisk+ model (economic capital) for retail

no specialists in economic capital out there?
by ntruwant
October 9th, 2006, 11:54 am
Forum: Technical Forum
Topic: calibrating CreditRisk+ model (economic capital) for retail
Replies: 1
Views: 90714

calibrating CreditRisk+ model (economic capital) for retail

<t>For implementation of the CR+ model,you need to give the necessary parameters to the model. The problems you need to solve are · PD and standard deviation of PD: based on 5 years of history, you cannot say that your estimates are really through the cycle. How do you incorporate the impact of a wh...
by ntruwant
August 11th, 2006, 8:01 am
Forum: General Forum
Topic: multi-regression question
Replies: 4
Views: 95653

multi-regression question

The most easy rule is retaining variables that have a t statistic of at least 2 . But you need a book indeed to go further than this (check for multicollinearith,...)
by ntruwant
June 27th, 2006, 10:17 am
Forum: Careers Forum
Topic: Is SAS useful in Quant finance?
Replies: 24
Views: 110854

Is SAS useful in Quant finance?

for statistical analysis it is very very powerful!
by ntruwant
May 30th, 2006, 6:25 am
Forum: Book And Research Paper Forum
Topic: Best book for Numerical procedures?
Replies: 11
Views: 105063

Best book for Numerical procedures?

I mean the following. With a good understanding of the book of Hull and Steele’s “Stochastic calculus”, I think one already has not a bad understanding of QF. I would like 1 or 2 books on numerical procedures to put my knowledge of NA on the same level and put that the theory in practice.
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