SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 499 matches

by FaridMoussaoui
October 13th, 2009, 12:43 pm
Forum: Programming and Software Forum
Topic: GPU in Finance Community
Replies: 13
Views: 41060

GPU in Finance Community

<r>Bloomberg Uses GPUs to Speed Up Bond Pricing Two-factor model for calculating hard-to-price asset-backed securities now runs on graphics processing units paired with Linux servers.<URL url="http://www.wallstreetandtech.com/advancedtrading/showArticle.jhtml?articleID=220200055"><LINK_TEXT text="ht...
by FaridMoussaoui
October 8th, 2009, 6:42 am
Forum: Programming and Software Forum
Topic: Bloomberg vs. Reuters
Replies: 4
Views: 39262

Bloomberg vs. Reuters

<t>Hi,I used Reuters 3000 Xtra and following a half day training course, I was able to use it and get the needed information. It is normal that when you start a new software, it seems difficult to find information but following my experience, you will be "used to" it quickly. There is a very good tr...
by FaridMoussaoui
October 6th, 2009, 11:10 am
Forum: Numerical Methods Forum
Topic: CEV option values - help needed
Replies: 33
Views: 55634

CEV option values - help needed

<t>QuoteOriginally posted by: AlanWell, I didn't use a PDE before, but just tried it again using NDSolve in Mathematica. Results confirmed on a grid of only 200 spatial pts:my function:CvalueCEVsolverII[S0_,K_,sig_,alpha_,T_,xmax_,WP_,npts_,pflag_]:=results:Timing[CvalueCEVsolverII[2/100,14/1000,2/1...
by FaridMoussaoui
October 1st, 2009, 12:05 pm
Forum: Numerical Methods Forum
Topic: Pseudospectral Methods free book
Replies: 7
Views: 36263

Pseudospectral Methods free book

Why using a spectral (ou pseudo-spectral) method? Do we need that accuracy?F.
by FaridMoussaoui
September 24th, 2009, 12:18 pm
Forum: Programming and Software Forum
Topic: Table of content in LATEX
Replies: 2
Views: 35500

Table of content in LATEX

<t>Zeta is right. At least for large scale users of latex, mathematicians, there is a standard format for writing thesis.I never seen a TOC as you asked for books or thesis. But you can do that easily. I imagine that youare using the "report" class format (report.cls file). I assume also that you ar...
by FaridMoussaoui
September 11th, 2009, 8:50 am
Forum: Numerical Methods Forum
Topic: numerical solution for fractional pde's
Replies: 2
Views: 36086

numerical solution for fractional pde's

<r>Hi,If you read french, have a look to this paper written by François Dubois:<URL url="http://www.math.u-psud.fr/~fdubois/travaux/evolution/ananelly-07/techinge09/dgp-fractionnaire-mars09.pdfIf"><LINK_TEXT text="http://www.math.u-psud.fr/~fdubois/trav ... rs09.pdfIf">http://www.math.u-psud.fr/~fdu...
by FaridMoussaoui
August 24th, 2009, 10:29 am
Forum: Numerical Methods Forum
Topic: Super Quant Monte-Carlo Challenge - V Grid Plugtests
Replies: 4
Views: 36655

Super Quant Monte-Carlo Challenge - V Grid Plugtests

<t>You can download the full contest description from the web siteFull contest descriptionIt is in the downloads section.This is from page 6 of the document:The “2008 Super Quant Monte Carlo Challenge” is to price a batch of the following configuration:* The batch of test cases contains a set of 100...
by FaridMoussaoui
August 24th, 2009, 8:35 am
Forum: Numerical Methods Forum
Topic: Super Quant Monte-Carlo Challenge - V Grid Plugtests
Replies: 4
Views: 36655

Super Quant Monte-Carlo Challenge - V Grid Plugtests

<r>Hi,Just to draw your attention to this challenge: The goal of the "2008 Super Quant Monte Carlo" challenge is to design and develop a Grid-enabled Option Pricing application, for pricing high dimensional European options or first generation exotic options, that can cope up with time critical inte...
by FaridMoussaoui
June 29th, 2009, 1:48 pm
Forum: Numerical Methods Forum
Topic: Weak formulation of American Options
Replies: 16
Views: 40682

Weak formulation of American Options

<t>You can find good references for variational inequalities in the field of free-boundary problems.1) Roland Glowinski, Jacques-Louis Lions, and Raymond Tremolieres. (THE REFERENCE) Numerical Analysis of Variational Inequalities. Volume 8 of Studies in Mathematics and Its Applications. North-Hollan...
by FaridMoussaoui
June 22nd, 2009, 9:51 am
Forum: Numerical Methods Forum
Topic: geometric brownian motion and brownian bridge
Replies: 4
Views: 40534

geometric brownian motion and brownian bridge

Hi,This matlab function computes BB at t = T. Nsims : number of MC simulations.Have a look to Shreve book "Stochastic Calculus for Finance II", pages 172-....F.
by FaridMoussaoui
June 12th, 2009, 4:32 pm
Forum: Numerical Methods Forum
Topic: Parallel Random Number Generation in C++: Library needed
Replies: 57
Views: 57770

Parallel Random Number Generation in C++: Library needed

<r>Hi,Have a look to the "Dynamic Creator" of Mersenne Twister generators proposed by Makoto Matsumoto and Takuji Nishimura.<URL url="http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/DC/dc.htmlF"><LINK_TEXT text="http://www.math.sci.hiroshima-u.ac.jp/~ ... C/dc.htmlF">http://www.math.sci.hiroshima-u....
by FaridMoussaoui
June 7th, 2009, 3:39 pm
Forum: Programming and Software Forum
Topic: database for high-frequency finance
Replies: 24
Views: 49916

database for high-frequency finance

Hi,Can someone working on high-frequency finance provide an overview of "best" DB for this kind of data?Thanks,F.
by FaridMoussaoui
June 3rd, 2009, 12:07 pm
Forum: Book And Research Paper Forum
Topic: Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)
Replies: 56
Views: 114147

Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

<t>QuoteOriginally posted by: CuchulainnWhich IDE do you use? Of course you know that almost everyone uses Windows, VS and Excel Your sentence remembered me the advertising by microsoft "Know The Facts" and its assault on Linux.I consider myself that not using windows is a skill but as I said: nobod...
by FaridMoussaoui
June 3rd, 2009, 8:19 am
Forum: Book And Research Paper Forum
Topic: Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)
Replies: 56
Views: 114147

Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: FaridMoussaouiQuoteOriginally posted by: Cuchulainn .... friendly Windows ..... Waw, an oxymoron.really, you think so? So, i have been working all these years with an oxymoron?Nobody is perfect.
by FaridMoussaoui
June 3rd, 2009, 6:50 am
Forum: Book And Research Paper Forum
Topic: Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)
Replies: 56
Views: 114147

Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

QuoteOriginally posted by: Cuchulainn .... friendly Windows ..... Waw, an oxymoron.
GZIP: On