SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by emac
June 24th, 2015, 9:11 am
Forum: Numerical Methods Forum
Topic: Finite difference and control variates
Replies: 47
Views: 7806

Finite difference and control variates

<t>QuoteOriginally posted by: outrunA simple example would be an American option? That's a classical control variates method when using trees/FDM grids.* use FDM to price both European and American options on the grid* use the difference between the closed form and FDM for the European option as mea...
by emac
June 8th, 2015, 1:39 pm
Forum: Student Forum
Topic: Market Price of Risk in BS
Replies: 4
Views: 2486

Market Price of Risk in BS

No, the notation is confusing you. [$]V:[0,\infty) \times R \to R[$] is a deterministic function. For all values of [$](t,x) \in :[0,\infty) \times R[$] the PDE is satisfied pointwise. Wilmott says that since the stock is a tradeable asset, the function V(t,x)=x must be a solution.
by emac
June 8th, 2015, 1:19 pm
Forum: Student Forum
Topic: Market Price of Risk in BS
Replies: 4
Views: 2486

Market Price of Risk in BS

<t>QuoteOriginally posted by: bcfIn Wilmott's third volume, in the Aside on p. 857 , after stating the PDE$$\frac{\partial V}{\partial t} + \frac{1}{2}\sigma^2S^2\frac{\partial^2 V}{\partial S^2} + (\mu - \lambda_S \sigma)S\frac{\partial V}{\partial S} - rV = 0$$he mentioned we may set [$]V=S[$] int...
by emac
May 31st, 2015, 12:55 pm
Forum: Careers Forum
Topic: How dead is quant prop trading at IBs?
Replies: 3
Views: 11050

How dead is quant prop trading at IBs?

Just wondering if anyone has any update on this?I still meet people who seem to be doing quantitative prop trading at big IBs (even American ones)... and i can't quite figure out what is going on.
by emac
April 24th, 2015, 7:12 am
Forum: Numerical Methods Forum
Topic: What does ?convergence? in Monte Carlo simulation mean?
Replies: 96
Views: 9627

What does ?convergence? in Monte Carlo simulation mean?

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: emacQuoteOriginally posted by: CuchulainnNowadays we have O(h^4) version.For non-constant coefficients? I would very interested to see this.Yep. I'll get the reference for you.BTW 'lin/Duffy schem...
by emac
April 23rd, 2015, 9:45 am
Forum: Numerical Methods Forum
Topic: What does ?convergence? in Monte Carlo simulation mean?
Replies: 96
Views: 9627

What does ?convergence? in Monte Carlo simulation mean?

QuoteOriginally posted by: CuchulainnNowadays we have O(h^4) version.For non-constant coefficients? I would very interested to see this.QuoteOriginally posted by: CuchulainnBTW do you have the I'lin paper in Russian or in English?In English
by emac
April 23rd, 2015, 8:15 am
Forum: Numerical Methods Forum
Topic: What does ?convergence? in Monte Carlo simulation mean?
Replies: 96
Views: 9627

What does ?convergence? in Monte Carlo simulation mean?

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: emacBTW I don't understand your comments on Ilin's paper. I quote many articles so I don't understand the cherry picking. Is it the convection/drift term that is the concern? I was looking at the Wilmott article "A Critique of the Cr...
by emac
April 22nd, 2015, 8:11 pm
Forum: Numerical Methods Forum
Topic: What does ?convergence? in Monte Carlo simulation mean?
Replies: 96
Views: 9627

What does ?convergence? in Monte Carlo simulation mean?

<t>QuoteOriginally posted by: CuchulainnThis has become an ideological/weltanschauung discussion (which I BTW don't find repugnant).Emac is happy to tweak to find a solution while I am interested in robust numerical methods that work for a wide range of parameters values as with PDEs.That the gist o...
by emac
April 22nd, 2015, 3:31 pm
Forum: Numerical Methods Forum
Topic: What does ?convergence? in Monte Carlo simulation mean?
Replies: 96
Views: 9627

What does ?convergence? in Monte Carlo simulation mean?

<t>QuoteOriginally posted by: CuchulainnFor me, it does.To me, that is like complaining that the integral[$]\int_{10^{10}}^{10^{20}} e^x dx[$]Takes a lot steps to approximate using the trapezoidal rule.The reason why it does is that error in the trapezoidal rule depends on the length of the interval...
by emac
April 21st, 2015, 4:02 pm
Forum: Numerical Methods Forum
Topic: What does ?convergence? in Monte Carlo simulation mean?
Replies: 96
Views: 9627

What does ?convergence? in Monte Carlo simulation mean?

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: emacQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: emacQuoteOriginally posted by: CuchulainnWant another example?Another example of what? My claim is only that MC methods converge in cases where they are proven to co...
by emac
April 21st, 2015, 2:59 pm
Forum: Numerical Methods Forum
Topic: What does ?convergence? in Monte Carlo simulation mean?
Replies: 96
Views: 9627

What does ?convergence? in Monte Carlo simulation mean?

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: emacQuoteOriginally posted by: CuchulainnWant another example?Another example of what? My claim is only that MC methods converge in cases where they are proven to converge -- you cannot provide a counterexample to that.You can provid...
by emac
April 21st, 2015, 2:50 pm
Forum: Numerical Methods Forum
Topic: What does ?convergence? in Monte Carlo simulation mean?
Replies: 96
Views: 9627

What does ?convergence? in Monte Carlo simulation mean?

<t>QuoteOriginally posted by: CuchulainnWant another example?Another example of what? My claim is only that MC methods converge in cases where they are proven to converge -- you cannot provide a counterexample to that.You can provide examples where the target random variable has a large variance, bu...
by emac
April 21st, 2015, 2:21 pm
Forum: Numerical Methods Forum
Topic: What does ?convergence? in Monte Carlo simulation mean?
Replies: 96
Views: 9627

What does ?convergence? in Monte Carlo simulation mean?

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: emacQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: emacQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: emacQuoteOriginally posted by: CuchulainnYou don't give up easy, do you? A better place to look f...
by emac
April 21st, 2015, 1:49 pm
Forum: Numerical Methods Forum
Topic: What does ?convergence? in Monte Carlo simulation mean?
Replies: 96
Views: 9627

What does ?convergence? in Monte Carlo simulation mean?

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: emacQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: emacQuoteOriginally posted by: CuchulainnYou don't give up easy, do you? A better place to look for PDE is Wilmott CFD threadThere are zillions of PDE/FDM threads he...
by emac
April 21st, 2015, 1:38 pm
Forum: Numerical Methods Forum
Topic: What does ?convergence? in Monte Carlo simulation mean?
Replies: 96
Views: 9627

What does ?convergence? in Monte Carlo simulation mean?

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: emacQuoteOriginally posted by: CuchulainnYou don't give up easy, do you? A better place to look for PDE is Wilmott CFD threadThere are zillions of PDE/FDM threads here. //OK, can you price an option using the SDEdv = d(lnV) = (- ½ s^...
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