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by jfuqua
June 19th, 2013, 6:04 pm
Forum: Numerical Methods Forum
Topic: Implicit Euler vs Crank-Nicolson FDM
Replies: 28
Views: 70028

Implicit Euler vs Crank-Nicolson FDM

In a recent paper "A simple iterative method for the valuation of American options"In Joon Kim, Bong-Gyu Jang & Kyeong Tae Kim use Gauss?Kronrod rule but say "more advanced numerical methods can be used."Any idea what those might be ?
by jfuqua
June 19th, 2013, 5:57 pm
Forum: General Forum
Topic: Blair Hull
Replies: 11
Views: 193118

Blair Hull

<t>Blair Hull "Three Factor Model"WSJ 6/14/13 in story about computer programmer's 'theft' from Goldman, mentions the Hull Three Factor Model. I've not found anything online about it. Except for possibly in the 1970s that he developed a pricing model independent of Black-Scholes.Anyone heard of this...
by jfuqua
March 3rd, 2013, 8:26 pm
Forum: Book And Research Paper Forum
Topic: New paper: CVA, FVA (and DVA?) with stochastic spreads
Replies: 1
Views: 10048

New paper: CVA, FVA (and DVA?) with stochastic spreads

RISK has been running a series and responses on these topics.
by jfuqua
March 3rd, 2013, 8:25 pm
Forum: Book And Research Paper Forum
Topic: "The Physics of Wall Street" by James Weatherall
Replies: 0
Views: 9119

"The Physics of Wall Street" by James Weatherall

<t>This is an excellent book in presenting the development of quantitative finance from Bachelier through Black-Scholes and to more recent work on different assumptions and ways of looking at data. While not talking much about specific financial crisis, it does show why some happened and how how to ...
by jfuqua
March 1st, 2013, 2:24 pm
Forum: Trading Forum
Topic: Heinz Option Trade
Replies: 3
Views: 9028

Heinz Option Trade

<t>Does anyone know the parameters that allowed the suspicious option trade ?To get the exercised value I have to enter parameters that seem extreme.I can't find reasonable parameters for the original trade valuation.What I find in the press isStrike = $65Spot at t=T [expire] of $72.5 [or at least w...
by jfuqua
November 14th, 2012, 9:19 pm
Forum: Student Forum
Topic: LeRoy and Werner 'Princ. Financial Economics'
Replies: 0
Views: 9388

LeRoy and Werner 'Princ. Financial Economics'

<t>In there book p. 36 and 37 they have several versions of a portfolio problem.I don't match their pricing equation or their h1 or h2.I interpret the problem as Case 1-p2*h2-p3*h3 +1/2*ln(3+h2) +1/2*ln(0+h3) for agent one where form is t=0 -prices * quantities +1/2 ln(c2) + 1/2 ln(c3)-p2*h2-p3*h3 +...
by jfuqua
November 14th, 2012, 8:48 pm
Forum: Technical Forum
Topic: Assumptions of Gyongy Theorem
Replies: 4
Views: 11607

Assumptions of Gyongy Theorem

Maybe of interest.Mimicking an It^o Process by a Solution of aStochastic Differential Equationhttp://www.math.cmu.edu/users/shreve/MatchingFunctionals.pdf
by jfuqua
November 12th, 2012, 9:08 pm
Forum: Book And Research Paper Forum
Topic: Mark Garman Paper
Replies: 1
Views: 10869

Mark Garman Paper

Does anyone have Mark Garman's 'A Synthesis of the Pure Theory of Arbitrage' ?The pdf is on the U.Cal. Berkeley site but damaged so it can not be downloaded.
by jfuqua
November 10th, 2012, 6:36 pm
Forum: Technical Forum
Topic: Finding the real world expected return with options prices
Replies: 127
Views: 25826

Finding the real world expected return with options prices

<t>Perhaps of interest on the topic.Miller Shane, Eckhard Platen 'Analytic Pricing of Contingent Claims under the Real-World Measure' IJT&AF V.11,#8 Dec. 2008 <analytic formulae, stylised minimal market model (SMMM),realistic dynamics for growth optimal portfolio (GOP) and diversified equity ind...
by jfuqua
November 8th, 2012, 4:07 pm
Forum: Technical Forum
Topic: Real World Probabilities
Replies: 1
Views: 10467

Real World Probabilities

<r>Carr Peter, Jiming Yu 'Risk, Return, and Ross Recovery' Journal of Derivatives Fall 2012 V.20 #1 may be of interest."...Ross's recent paper on extracting both the risk-neutral density and the empirical density from a set of market option prices." Along with an earlier paper by John Long 'Numérair...
by jfuqua
November 7th, 2012, 7:39 pm
Forum: Numerical Methods Forum
Topic: What is the operator splitting technique?
Replies: 36
Views: 84307

What is the operator splitting technique?

<r>This may be of interest/use.Chertock Alina, Alexander Kurganov 'On Splitting-Based Numerical Methods for Convection-Diffusion Equations' <URL url="http://www4.ncsu.edu/~acherto/papers/Chertock-Kurganov.pdf"><LINK_TEXT text="http://www4.ncsu.edu/~acherto/papers/Ch ... rganov.pdf">http://www4.ncsu....
by jfuqua
November 7th, 2012, 7:32 pm
Forum: Technical Forum
Topic: Solution of Stochastic Volatility Models using Variance Transition Probabilities and Path Integrals
Replies: 66
Views: 24568

Solution of Stochastic Volatility Models using Variance Transition Probabilities and Path Integrals

The paper on SSRN is dated Sept. 2012 and 'Preliminary.'I get the impression from the discussion that more work has been done.A revised/updated paper ready or soon to be ready ?
by jfuqua
November 7th, 2012, 7:27 pm
Forum: Technical Forum
Topic: Question about risk-neutral valuation and no-arbitrage
Replies: 37
Views: 118786

Question about risk-neutral valuation and no-arbitrage

Right, I just saw this as a Forum topic people would look at rather than creating a new one. Though your work on openning up this area, along with the Ross and Long work will probably become a Forum topic all of its own.
by jfuqua
November 6th, 2012, 9:36 pm
Forum: Technical Forum
Topic: Question about risk-neutral valuation and no-arbitrage
Replies: 37
Views: 118786

Question about risk-neutral valuation and no-arbitrage

Carr Peter, Jiming Yu 'Risk, Return, and Ross Recovery' Journal of Derivatives Fall 2012 V.20 #1 may be of interest."...Ross?s recent paper on extracting both the risk-neutral density and the empirical density from a set of market option prices." along with an earlier paper by John Long
by jfuqua
November 6th, 2012, 9:22 pm
Forum: Technical Forum
Topic: SABR approximations - best practice?
Replies: 105
Views: 76492

SABR approximations - best practice?

Takahashi, et al 'A General Computation Scheme for a High-Order Asymptotic Expansion Method' International Journal of Theoretical and Applied Finance' V.15 #6 2012deals with the SABR and lambda-SABR model and pricing comparisons.
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