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by FaridMoussaoui
December 15th, 2008, 8:01 am
Forum: Book And Research Paper Forum
Topic: Quantitative Risk Management:Concepts, Techniques, and Tools (Alexander J. McNeil, Rüdiger Frey, & Paul Embrechts)
Replies: 3
Views: 45732

Quantitative Risk Management:Concepts, Techniques, and Tools (Alexander J. McNeil, Rüdiger Frey, & Paul Embrechts)

Hi, The best book ever written on QRM. It has a rigourous coverage of RM (mathematics oriented).It is also supplied with S-plus (and so also R) software to reproduce the resultsin the book. This software is downloadable from Mc Neil web page.F.
by FaridMoussaoui
December 2nd, 2008, 12:19 pm
Forum: Programming and Software Forum
Topic: C++ question
Replies: 32
Views: 49999

C++ question

Is DNS = Direct Numerical Simulation ? or Domain Name Server?F.
by FaridMoussaoui
December 1st, 2008, 9:52 am
Forum: Numerical Methods Forum
Topic: crank nicholson code
Replies: 36
Views: 189580

crank nicholson code

<t>Daniel,The roots of the problem you got with the CN scheme and your Wilmott paper arethe non smooth (discoutinuous) initial data. This problem was solved in 1984 by Rannacher Rannacher, R (1984) Finite element solution of diffusion problems with irregulardata, Numerische Mathematik, 43, 309-327.S...
by FaridMoussaoui
November 20th, 2008, 8:45 pm
Forum: Programming and Software Forum
Topic: QuantLib subset
Replies: 13
Views: 77192

QuantLib subset

I do not know.I have a broader question: Is java a language for computing (and HPC)?F.
by FaridMoussaoui
November 20th, 2008, 9:15 am
Forum: Programming and Software Forum
Topic: QuantLib subset
Replies: 13
Views: 77192

QuantLib subset

QuantLib of JQuantLib?F.
by FaridMoussaoui
November 11th, 2008, 1:05 pm
Forum: Book And Research Paper Forum
Topic: New Book - Applied Stochastic Control of Jump Diffusions by Bernt Øksendal, Agnès Sulem
Replies: 10
Views: 157457

New Book - Applied Stochastic Control of Jump Diffusions by Bernt Øksendal, Agnès Sulem

<t>I borrowed the book from the local university library. It is well written and let you understandthe concepts not by reading but studying the given exercices at the end of each chapter.It's more on analysis than numerical simulation. The numerical simulation details are expected within the new boo...
by FaridMoussaoui
November 10th, 2008, 9:22 pm
Forum: Numerical Methods Forum
Topic: Levy skew alpha-stable distribution
Replies: 14
Views: 53348

Levy skew alpha-stable distribution

<r>Hi,Have a look to McMullan web page <URL url="http://www.econ.ohio-state.edu/jhm/jhm.htmlMcCulloch-Panton"><LINK_TEXT text="http://www.econ.ohio-state.edu/jhm/jhm. ... och-Panton">http://www.econ.ohio-state.edu/jhm/jhm.htmlMcCulloch-Panton</LINK_TEXT></URL> Skew-Stable Fractile Density Table : <U...
by FaridMoussaoui
November 9th, 2008, 2:16 pm
Forum: Numerical Methods Forum
Topic: Boundary conditions for Heston PDE
Replies: 95
Views: 80559

Boundary conditions for Heston PDE

QuoteOriginally posted by: CuchulainnBTW The Fichera approach allows me to reproduce all of the BC in Heston without having to choose between different candiadate soluitions.Daniel,Do you have a good reference for the Fichera approach?F.
by FaridMoussaoui
November 8th, 2008, 9:37 am
Forum: Numerical Methods Forum
Topic: Numerical methods for multidimensional Optimal Stopping Problem
Replies: 33
Views: 54368

Numerical methods for multidimensional Optimal Stopping Problem

<t>Hi Jean-Marc,Your scheme is like a kinetic scheme (also known as Boltzman scheme).It has the same ingredients.I prefer not using the word "optimal scheme". I worked on cfd schemes and there isdozen and dozen of schemes used. Finally the key point to have a "good" solutionis the mesh (and any stab...
by FaridMoussaoui
November 4th, 2008, 10:53 am
Forum: Numerical Methods Forum
Topic: Who understands Black Scholes Boundary Conditions, really
Replies: 183
Views: 185875

Who understands Black Scholes Boundary Conditions, really

<t>Well, the TBC I wrote can be approximated by splitting the integral in two parts:one from 0 to t - {\delta t} and from t- {\delta} to t. Then you suppose the integral in [t- {\delta} t] constant in \tauand you get Discretise this equation, you get thenwhere depends on L, \delta t, r, and \sigma(x...
by FaridMoussaoui
November 4th, 2008, 9:58 am
Forum: Numerical Methods Forum
Topic: Who understands Black Scholes Boundary Conditions, really
Replies: 183
Views: 185875

Who understands Black Scholes Boundary Conditions, really

<t>Hi,If you have a "deep" look to the paper on matheon.de, he is not proposing a standard TBC but a "non-standard" one.He first remarked that the discretised TBCs of Mayfied and Hu are somewhat "unstables".Instead, he managed to work directly on the numerical scheme (CN FDM), use a Z-transform. Kno...
by FaridMoussaoui
November 3rd, 2008, 4:02 pm
Forum: Numerical Methods Forum
Topic: Who understands Black Scholes Boundary Conditions, really
Replies: 183
Views: 185875

Who understands Black Scholes Boundary Conditions, really

<t>Hi Daniel,Transparent boundary conditions (TBC) or artificial boundary conditons (ABC) are very used termsfor problems defined in unbounded domains. Called it what you want but this terminology is the right one.It gives you a non-local operator.In the case of BS, it is simply!!where and depend on...
by FaridMoussaoui
November 1st, 2008, 3:07 pm
Forum: Numerical Methods Forum
Topic: Bias vs estimate std errror in Euler discretization
Replies: 6
Views: 48990

Bias vs estimate std errror in Euler discretization

Hi, Mark Joshi implemented the LIBOR market model in Quantlib. Quantib is in C++.F.
by FaridMoussaoui
October 27th, 2008, 10:36 am
Forum: Numerical Methods Forum
Topic: The Alternating Direction Explicit (ADE) Method Thread
Replies: 146
Views: 177897

The Alternating Direction Explicit (ADE) Method Thread

Hi Daniel,Do you have written a paper (or a working paper) for your (very) fast FDM?Thanks.F.
by FaridMoussaoui
October 15th, 2008, 9:15 pm
Forum: Book And Research Paper Forum
Topic: Amazon Reviews
Replies: 35
Views: 52684

Amazon Reviews

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