SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 89 matches

by emac
April 21st, 2015, 1:27 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: 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^2) dt + s dz How many time steps do you need for Euler to work?What ...
by emac
April 21st, 2015, 10:33 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: CuchulainnQuoteI could equally take a very irregular PDE and show a standard method FDM doesn't work and then claim that all FDMs are rubbish.Not true. PDE and FDM are predictable. They have a history going back 100s of years. You can get all PDEs to work but SDEs are u...
by emac
April 21st, 2015, 9:52 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: CuchulainnQuoteEuler usually works for processes met in finance but converges only slowly with possibly high error. It is usually possible to find a better scheme, even with the same rate of convergence, that better matches the distribution of the underlying state varia...
by emac
April 20th, 2015, 6:43 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: CuchulainnI take it back: Euler is not even wrong. Some claim that there are better methods, so I am interested in knowing what they might be.There is a huge literature on MC methods for SDEs. See weak and strong Taylor schemes in Kloeden and Platen, and Richardson-Romb...
by emac
April 20th, 2015, 10:36 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: emacQuoteOriginally posted by: CuchulainnAnyhoo, it would see the issues are 1) Computability of a numerical approximation 2) How to define and measure accuracy, 3) the difficulty of partitioning functions spaces over random processe...
by emac
April 20th, 2015, 8:16 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: CuchulainnAnyhoo, it would see the issues are 1) Computability of a numerical approximation 2) How to define and measure accuracy, 3) the difficulty of partitioning functions spaces over random processes as is done with deterministic FEM. 1) This is not a problem for mo...
by emac
April 17th, 2015, 8:11 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: CuchulainnQuoteI have carried out the A,B exerciseThat's fast. What are your findings?Maybe you think this is some form of Socratic dialogue, but it would be easier if you just explained what you meant (esp. about 2_A). I think the people replying have all used MC and P...
by emac
April 16th, 2015, 12:11 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: Traden4AlphaQuoteOriginally posted by: emacQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: emacQuoteOriginally posted by: CuchulainnFrom a numerical analysis viewpoint, MC is strange:1. The results are not reproducible (unless the same seed is used).2. S...
by emac
April 16th, 2015, 11:31 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: emacQuoteOriginally posted by: CuchulainnFrom a numerical analysis viewpoint, MC is strange:1. The results are not reproducible (unless the same seed is used).2. Sharp error results in an appropriate norm are incomplete. 2_A. It is m...
by emac
April 16th, 2015, 8:27 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: CuchulainnFrom a numerical analysis viewpoint, MC is strange:1. The results are not reproducible (unless the same seed is used).2. Sharp error results in an appropriate norm are incomplete. 2_A. It is missing the concept of a function as in real analysis.3. Convergence ...
by emac
April 13th, 2015, 8:27 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: outrunQuoteOriginally posted by: CuchulainnQuoteWhen you discretize a non-linear SDE the step distributions won't be normal/closed form in general.I don't understand this statement. So, if the SDE is constant or linear in the volatility term then you don't have that pro...
by emac
April 8th, 2015, 7:50 am
Forum: Careers Forum
Topic: Starting compensation for a developer
Replies: 23
Views: 7222

Starting compensation for a developer

<t>QuoteOriginally posted by: ElysianEagleQuoteOriginally posted by: emacAre these really starting salaries?$180k for a developer = roughly £120k.I think the starting salary for devs and quants in London is roughly £60-80k = $90-120k. Are London salaries that much lower?It's very unlikely that a non...
by emac
April 7th, 2015, 11:56 am
Forum: Careers Forum
Topic: Starting compensation for a developer
Replies: 23
Views: 7222

Starting compensation for a developer

Are these really starting salaries?$180k for a developer = roughly £120k.I think the starting salary for devs and quants in London is roughly £60-80k = $90-120k. Are London salaries that much lower?
by emac
April 2nd, 2015, 10:22 am
Forum: Careers Forum
Topic: Which of these PhD is better for quant industry?
Replies: 40
Views: 8933

Which of these PhD is better for quant industry?

<t>QuoteOriginally posted by: ThinkDifferentQuoteOriginally posted by: emacQuoteOriginally posted by: ThinkDifferentQuoteOriginally posted by: emacQuoteOriginally posted by: GamalStochastic analysis is the hard kernel of quantitative finance, optimization and C++ are important but not that crucial. ...
by emac
April 2nd, 2015, 9:33 am
Forum: Careers Forum
Topic: Which of these PhD is better for quant industry?
Replies: 40
Views: 8933

Which of these PhD is better for quant industry?

<t>QuoteOriginally posted by: ThinkDifferentQuoteOriginally posted by: emacQuoteOriginally posted by: GamalStochastic analysis is the hard kernel of quantitative finance, optimization and C++ are important but not that crucial. There are two places to learn good stochastic analysis - Moscow State Un...
GZIP: On