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Jerron
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Joined: November 20th, 2004, 10:26 am

Adaptive Mesh

March 7th, 2005, 9:17 pm

I am a student new to the finance industry. After six months' training, I'm eager to apply the knowledge I've learnt. Last weekend I wrote a small program to implement the Adaptive Mesh Model: http://www.andrew.cmu.edu/user/zhiyongl ... h.htmCould you please give me suggestions to make it more useful? Or, could you enlighten me with some new topics or ideas? Say, if you feel that you or your team need some tools to help the daily work, however you are too busy to do the programming, I'm more than happy to give a try!BTW, At this time, I'm looking for summer internship opportunities. Any information is greatly appreciated.
Last edited by Jerron on March 6th, 2005, 11:00 pm, edited 1 time in total.
 
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henny
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Joined: January 28th, 2005, 7:04 pm

Adaptive Mesh

March 7th, 2005, 11:43 pm

Last edited by henny on March 29th, 2005, 10:00 pm, edited 1 time in total.
 
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Jerron
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Joined: November 20th, 2004, 10:26 am

Adaptive Mesh

March 13th, 2005, 7:09 pm

thank you very much for your comments!1) I just googled the term "multigrid", looks similiar. don't know detailed difference yet. who can educate me on this please?2) What do you mean by 3-D? what would be the 3rd dimension?3) in the screenshot it is a American option. thus some nodes' value are same as their middle children's.
Last edited by Jerron on March 12th, 2005, 11:00 pm, edited 1 time in total.
 
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Cuchulainn
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Adaptive Mesh

March 13th, 2005, 8:22 pm

> Could you please give me suggestions to make it more useful? Or, could you enlighten me with some new topics or ideas? Say, if you feel > that you or your team need some tools to help the daily work, however you are too busy to do the programming, I'm more than happy to > give a try!This is quite impressive. Speaking from a purely Numerical Analysis viewpoint ...Don't want to be a spoil sport, but you neeed adaptive mesh because Trinomial oscillates at strike price K? Just like CN screws up at K, same problem.Multigrid is kind of PhD Numerical Analysis. I am not up to date on it anymore but it might be overkill for FE applications. MG ws invented by Achi Brandt in the 70's.If you were able to get your head around this problem, why not move on to more robust Finite Difference Method? In fact, Trinomal is an Explicit FD scheme. IMHO this could be a good avenue. FDM mesh is more regular than Trinomial and easier to program.Have you tried your scheme for barrier options? Many schemes fail at barrier. > The program is written in C#. Codes are available upon request. This is a good solution, nice interface. I suppose you use Windows Form. I would distribute source code sparingly.P.S. have you seen the thread FDM_CFD?? in SoftwareP.P.S. if you like to email dduffy@datasim.nl Hope this helps
Last edited by Cuchulainn on March 12th, 2005, 11:00 pm, edited 1 time in total.
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