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by FinancialAlex
July 17th, 2011, 6:01 am
Forum: Technical Forum
Topic: lmplied Volatility Term Structure
Replies: 1
Views: 20930

lmplied Volatility Term Structure

<r> You may want to take a look at this paper: <URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1882567which"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... 82567which">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1882567which</LINK_TEXT></URL>, among other things, di...
by FinancialAlex
July 16th, 2011, 5:45 am
Forum: Technical Forum
Topic: Various approaches for constructing volatility surface
Replies: 2
Views: 19918

Various approaches for constructing volatility surface

<t>An overview of methodologies for constructing volatility surfaces is given inhttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=1882567Please mention in this thread any other references that you think are relevant and were not mentioned in the paper. Also, feel free to add any insight/comment reg...
by FinancialAlex
July 16th, 2011, 5:19 am
Forum: Numerical Methods Forum
Topic: Adjoint and Automatic Differentiation (AAD) in computational finance
Replies: 22
Views: 39794

Adjoint and Automatic Differentiation (AAD) in computational finance

<r>As described in various papers/conference presentations, the AAD approach can potentially reduce the computational cost of sensitivities by several orders of magnitude, while having no approximation error. It can be used either for computing the Greeks or, respectively, for computing exact (up to...
by FinancialAlex
July 13th, 2010, 3:17 am
Forum: Numerical Methods Forum
Topic: Is there any good way to calibration SVI or SABR models?
Replies: 4
Views: 31545

Is there any good way to calibration SVI or SABR models?

Take a look at this oneArticle linkAlso, one other way is to use a hybrid optimizer:a) 10-20 iterations of a good global optimizer (such as Differential Evolution)b) then use that output as initial guess for good local optimizer (such as L-BFGS)
by FinancialAlex
July 13th, 2010, 2:06 am
Forum: Technical Forum
Topic: Practitioners' use of convexity correction in Commodities
Replies: 0
Views: 26160

Practitioners' use of convexity correction in Commodities

<t>I came across a 2009 paper by Pilz and Schogl that showed a difference of about 0.4%-0.5% between forwards and futures prices at 3 year mark for WTI market dataThe article can be found here:article linkCan anybody suggest papers/presentations that describe or mention practitioners' use convexity ...
by FinancialAlex
February 23rd, 2010, 12:51 am
Forum: Numerical Methods Forum
Topic: The Alternating Direction Explicit (ADE) Method Thread
Replies: 146
Views: 182066

The Alternating Direction Explicit (ADE) Method Thread

No. Any reference(s), please?
by FinancialAlex
February 23rd, 2010, 12:50 am
Forum: Numerical Methods Forum
Topic: Exonential Fitting Scheme
Replies: 10
Views: 85428

Exonential Fitting Scheme

I have used it for nonuniform grid and it worked fine
by FinancialAlex
February 12th, 2010, 8:27 am
Forum: Numerical Methods Forum
Topic: The Alternating Direction Explicit (ADE) Method Thread
Replies: 146
Views: 182066

The Alternating Direction Explicit (ADE) Method Thread

<t>Daniel,I have implemented the 1D ADE that you have presented in your paper mentioned in your post and it works quite nice.I am curious how you treat the "mized derivative" part when you apply the methodology to 2D problems. That is quite a challenge for regular FD methods. As you were mentioning ...
by FinancialAlex
February 11th, 2010, 12:54 am
Forum: Technical Forum
Topic: Hedging instruments for the jump contribution in a model with jumps
Replies: 5
Views: 34062

Hedging instruments for the jump contribution in a model with jumps

<t>I understand that adding jumps to a model would enhance it and would allow it to capture additional characteristics of the market compared to local vol or stoch vol models.But I wanted to find out how is hedging usually done by the traders when using these types of model that include jumps. In ot...
by FinancialAlex
February 11th, 2010, 12:53 am
Forum: Trading Forum
Topic: Hedging instruments for the jump contribution in a model with jumps
Replies: 0
Views: 31165

Hedging instruments for the jump contribution in a model with jumps

<t>I understand that adding jumps to a model would enhance it and would allow it to capture additional characteristics of the market compared to local vol or stoch vol models.But I wanted to find out how is hedging usually done by the traders when using these types of model that include jumps. In ot...
by FinancialAlex
December 10th, 2009, 3:35 am
Forum: Technical Forum
Topic: Modeling electricity spot prices in the practitioner world
Replies: 25
Views: 46022

Modeling electricity spot prices in the practitioner world

<t>some decent progress. After extensive lit search, regime switching models seemed to be the way to go. The papers present mostly the models and sometimes their calibration (including deseasonalization and parameter estimation). But not too much was written on actually pricing instruments which re ...
by FinancialAlex
June 19th, 2009, 4:02 am
Forum: Technical Forum
Topic: Modeling electricity spot prices in the practitioner world
Replies: 25
Views: 46022

Modeling electricity spot prices in the practitioner world

I have experience with stochastic and local vol models, but not in electricityThat is why I was trying to get some of the collective wisdom on this board :-)
by FinancialAlex
June 8th, 2009, 3:58 am
Forum: Technical Forum
Topic: Modeling electricity spot prices in the practitioner world
Replies: 25
Views: 46022

Modeling electricity spot prices in the practitioner world

Thank youI looked at FEA and papers and they do not give too much details in what they are using, although they mention jump diffusion, regime switching etcAlso their papers are from 2003, and a lot of models were proposed since then
by FinancialAlex
May 28th, 2009, 12:59 am
Forum: Technical Forum
Topic: Modeling electricity spot prices in the practitioner world
Replies: 25
Views: 46022

Modeling electricity spot prices in the practitioner world

Yes, that is also a good book (that I just bought). Can you also point out any presentations/articles by practioners on the actual models that are used in industry? I have found extremely few in this category: among them, the paper by Andreasen and Dalhgren
by FinancialAlex
May 26th, 2009, 1:40 am
Forum: Technical Forum
Topic: Modeling electricity spot prices in the practitioner world
Replies: 25
Views: 46022

Modeling electricity spot prices in the practitioner world

<t>Would anybody like to share any insight on which models are used by practitioners for capturing well the main characteristics of electricity spot prices: seasonality (yearly, weekly, intradaily), spikes, mean reversion etc while, in the same time, be analytically or numerically tractable for opti...