SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by chocolatemoney
October 30th, 2012, 12:24 pm
Forum: Book And Research Paper Forum
Topic: Book on hf trading plateform development
Replies: 6
Views: 12141

Book on hf trading plateform development

<r>QuoteOriginally posted by: phdquantHi, not really in did, I am looking for a detailed explanation of the caveats and chanlenges when writing a fully automated hfplatform (backtesting+prod)There are multiple areas where issues, problems and challenges may arise.On my side, I would encourage you to...
by chocolatemoney
October 18th, 2012, 11:35 am
Forum: Student Forum
Topic: Directed graph layout algo
Replies: 2
Views: 9869

Directed graph layout algo

Thanks for the input.We have got nice results with the Yifan Hu algorithm, which is effective in exposing distributors and "end-product" manufacturers, as well as their suppliers.
by chocolatemoney
October 16th, 2012, 1:45 pm
Forum: Student Forum
Topic: Directed graph layout algo
Replies: 2
Views: 9869

Directed graph layout algo

<t>Hi,I am digging into directed graph layout algos.I am trying to find a good layout algo that:1) maximises the number of directed edges going from left to right, hence displaying the "value chain" of an industry2) minimises the number of edges crossing each otherHave you got experience in this fie...
by chocolatemoney
October 11th, 2012, 9:22 am
Forum: The Quantitative Finance Code Library Project
Topic: ADE Method
Replies: 8
Views: 14169

ADE Method

<t>If I am not in error, the far-field BC on vol is external. What is a "characteristic boundary" in this context?Unit-transformation is sexy but I get oscillations in the solution due to the (1-sigma) as denominator, when sigma -> 1 (I tested various implementations in the domain range of the produ...
by chocolatemoney
September 25th, 2012, 8:18 am
Forum: The Quantitative Finance Code Library Project
Topic: ADE Method
Replies: 8
Views: 14169

ADE Method

<t>Quote@chocolatemonkey ... the BCs are just Dirichlet. Hi, I have been playing with BCs.I would like to understand the meaning and the purpose of Zvan 1998 BCs (Finite Difference methods in FE dy Duffy on page 243), in particular the far-field BC for vol:According to my numerical experiments, it i...
by chocolatemoney
September 19th, 2012, 12:20 pm
Forum: Numerical Methods Forum
Topic: SABR pde method/code
Replies: 40
Views: 16362

SABR pde method/code

<t>QuoteOriginally posted by: mtsmI hear you, but I would like to be able to dumb things down as much as possible for my own sake. I feel that I need to think about and understand that Fichera stuff a bit more. For domain truncation I would just take a couple of standard deviations and experiment. I...
by chocolatemoney
August 17th, 2012, 9:32 am
Forum: The Quantitative Finance Code Library Project
Topic: ADE for SABR - testing the implementation
Replies: 14
Views: 15792

ADE for SABR - testing the implementation

Marchuk 1-2-2-1 is the MacCormack Method?Page 25, eq 64 and 65 in http://www.mie.utoronto.ca/labs/MUSSL/cfd20.pdf ?Thanks.
by chocolatemoney
August 15th, 2012, 12:45 pm
Forum: The Quantitative Finance Code Library Project
Topic: ADE for SABR - testing the implementation
Replies: 14
Views: 15792

ADE for SABR - testing the implementation

Yes. Yanenko (1971) as on page 224 of your FDM book.Thanks.
by chocolatemoney
August 15th, 2012, 10:11 am
Forum: The Quantitative Finance Code Library Project
Topic: ADE for SABR - testing the implementation
Replies: 14
Views: 15792

ADE for SABR - testing the implementation

Thanks for the post.As mentioned previously, I have coded Hagan's closed form and Yanenko. They should work as a reasonable benchmark.Tonight, I will play with the far-end BC on vol to see which one improves the accuracy of ADE vs Hagan.
by chocolatemoney
August 13th, 2012, 3:09 pm
Forum: The Quantitative Finance Code Library Project
Topic: ADE for SABR - testing the implementation
Replies: 14
Views: 15792

ADE for SABR - testing the implementation

<t>My goal is to check the performance of some ADE schemes for SABR.I think the performance check for the schemes should be carried on for "typical numbers" (what they are it is up for discussion)At the same time, I will try to stress test the code with pathological parameter values ...Thanks again ...
by chocolatemoney
August 13th, 2012, 7:49 am
Forum: The Quantitative Finance Code Library Project
Topic: ADE for SABR - testing the implementation
Replies: 14
Views: 15792

ADE for SABR - testing the implementation

<t>Thank you, Alan. Thank you, Daniel.I will run the test cases suggested.In general (without looking at a specific product), I think I could assume:1) How high could be the initial volatility for the products for which SABR is used? I think that quoted vol < 20% is a reasonable boundary for the FX ...
by chocolatemoney
August 10th, 2012, 1:19 pm
Forum: The Quantitative Finance Code Library Project
Topic: ADE for SABR - testing the implementation
Replies: 14
Views: 15792

ADE for SABR - testing the implementation

<t>Hi,I have implemented ADE schemes for the SABR model.I am now in the process of testing the implementation.? Which choice of parameters would you suggest? In which parameter range should I cherry pick my test cases? This question is of particular concern if Hagan's closed-form expression is chose...
by chocolatemoney
August 7th, 2012, 8:15 am
Forum: Programming and Software Forum
Topic: Flow Chart library
Replies: 1
Views: 11167

Flow Chart library

<t>Hi,This is not directly a quant-finance question...I need to develop a flow chart tool.The look and feel of the application should be similar to Microsoft Visio and Open Office Draw - but with a much limited set of functionalities.I was wondering if there is a library of visual components (boxes,...
by chocolatemoney
July 25th, 2012, 10:59 am
Forum: Economics Forum
Topic: Reinsurance structures for funds
Replies: 1
Views: 11722

Reinsurance structures for funds

<t>Hi,I was wondering if you could help me understand how the reinsurance structures for asset managers work (for example Greenlight Capital has adopted one).In particular,* What are the gearing requirements for the Reinsurer? What is the maximum D/E requirement?* How much assets can be invested in ...
by chocolatemoney
May 16th, 2012, 2:33 pm
Forum: Student Forum
Topic: Monte Carlo Discretisation
Replies: 4
Views: 12302

Monte Carlo Discretisation

Noted. Thanks.
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