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MCarreira
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Joined: July 14th, 2002, 3:00 am

New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

January 3rd, 2007, 11:45 am

I ordered it in December 5, they delayed it (seems it'll ship in Feb).
 
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WilmottBookshop
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Joined: August 1st, 2002, 2:40 pm

New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

January 3rd, 2007, 11:50 am

I have just spoken to McGraw-Hill and they are expecting the book into stock on the 15th January.
 
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cemil
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New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

January 3rd, 2007, 12:11 pm

It seem the delay is in february.
 
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rmeenaks
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New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

January 3rd, 2007, 4:44 pm

Care to comment on the book? I placed an order as well in December and I am still waiting for it :-(BTW, I dont own the 1st edition, so based on that, how is it???Thanks,Ram
 
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Collector
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New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

January 4th, 2007, 7:50 am

A quant just sent me an e-mail and told he had got 2nd edition.... I am in remote location of world just now so have not seen final product myself yet, but I am jumping on first airplane to fly to where I can get a copy If the copy is not flying to you then fly to get a copy!!! PS flight ticket not included with the book, but using the book in combination with good quant skills can make you enough money to fly anywhere you would like!
Last edited by Collector on January 3rd, 2007, 11:00 pm, edited 1 time in total.
 
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MCarreira
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New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

January 5th, 2007, 11:20 pm

Amazon shipped my copy today.
 
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rmeenaks
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Joined: May 1st, 2006, 2:31 pm

New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

January 9th, 2007, 4:20 am

Got mine today as well... Yipeee!!!Now I just need to go to the Bahamas and read under a palm tree....
 
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hgeorgako
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New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

January 12th, 2007, 5:02 am

A couple of questions and comments on the CN routine of the latest edition. I received my copy today and so far it's great!On page 342 and 343 of the second edition, can someone please verify the code for the Crank Nicolson routine. I assume we need to add the relevant boundary conditions to the code before the end of the outer loop j=N-1 to 0 step -1.on pg 343, line 4, shouldn't it read C(N,0) as opposed to C(0,0)Same on line 7, C(N,i)The indexing should also probably be C(j,i+1) as opposed to C(0,i+1) within the j outer loop and C(j+1 , i) instead of C(1, i) etc.Having found the complete grid, of C, how would one go about computing the greeks (delta, gamma, theta)?For vega and rho what is the recommended change in those variables before the code is run again to produce a new grid.For theta as a central difference approximation, how does one extend the grid to time -1? is it as simple as making the evaluation date: newdate = olddate - timestep?Finally, when computing longer term options (leaps) i find that my values are way off compared to the CBOE java based calculator.Any hints as to why?Thanks.
 
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Collector
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New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

January 12th, 2007, 12:36 pm

yes my book is very light on finite difference...I will look into what you mentioned... For a much better book on this topic see Duffy 2006 my first degree is garden plants, I have been growing many trees, so I am better at trees...
Last edited by Collector on January 11th, 2007, 11:00 pm, edited 1 time in total.
 
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Cuchulainn
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New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

January 12th, 2007, 1:06 pm

QuoteOriginally posted by: Collectoryes my book is very light on finite difference...I will look into what you mentioned... For a much better book on this topic see Duffy 2006 my first degree is garden plants, I have been growing many trees, so I am better at trees...I Like trees too, and a good investment, especially if you look at a 20 year horizon. I did not get my copy yet (did I win a prize too?) but I assume CN means Crank-Nicolson?
 
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Cuchulainn
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New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

January 12th, 2007, 1:08 pm

QuoteOriginally posted by: hgeorgakoOn page 342 and 343 of the second edition, can someone please verify the code for the Crank Nicolson routine. I assume we need to add the relevant boundary conditions to the code before the end of the outer loop j=N-1 to 0 step -1.Thanks.Maybe Collector could post the piece of code and we could examine it. I do not have this book yet.
 
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Collector
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New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

January 12th, 2007, 1:15 pm

page 342 is Crank-Nicolson with code...so yes CN must be ...Looks like code gives "correct" value if I compare for example some American puts with binomial/trinomial....however when it comes to very long dated options etc. I am not sure... if I remember right I was reading in a book, probably Duffy 2006 that there is not straight forward to make stable Crank-Nicolson implementation?
 
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Cuchulainn
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New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

January 12th, 2007, 1:24 pm

QuoteOriginally posted by: Collectorpage 342 is Crank-Nicolson with code...so yes CN must be ...Looks like code gives "correct" value if I compare for example some American puts with binomial/trinomial....however when it comes to very long dated options etc. I am not sure... if I remember right I was reading in a book, probably Duffy 2006 that there is not straight forward to make stable Crank-Nicolson implementation?Like T a few years (T = 3)?What happens? Do the wiggly oscillations become more pronounced? Is it only the delta or does solution misbehave as well?A solution I use is implicit Euler and possibly extrapolation to get second-order accuracy (did up to T = 1). Would need to check for bigger T.CN starts with small wiggles and they may not be visible. This is well known and what happens is that the amplifcation factor becomes negative and gets bigger and bigger at a certain frequency (see Strang and Fix 1973 page 247 for a nice example using 1d heat equation)
Last edited by Cuchulainn on January 11th, 2007, 11:00 pm, edited 1 time in total.
 
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Collector
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New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

January 12th, 2007, 1:38 pm

hgeorgakoEven for long dated options my values seems to be very close to other implementations, I had to increase number of steps somewhat to get convergence...but this is expected (of course many tricks to improve convergence)... I would not be surprised if implementation breaks down in some special cases...what are the input you used in your example? C(0,0) instead of C(N,0) should be okay....asset price grid same at beginning and end of grid....only "probabilities" time dependent.. and naturally option values....so yes will have implications for further calculations down the code, but I am not storing whole option grid directly, instead rolling it (flipping it) one step at the time...so I now see one improvements, I could have put aside much less memory for C() ( C(0 To 1, 0 To M) will do )...this will not affect calculations/values, but why use more memmory than necessary...even for long dated American options I get "exactly" same value as trees, but my CN implementation is for sure slower at converge than trees. I love trees!
Last edited by Collector on January 11th, 2007, 11:00 pm, edited 1 time in total.
 
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Cuchulainn
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New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

January 12th, 2007, 3:49 pm

QuoteOriginally posted by: CollectorhgeorgakoEven for long dated options my values seems to be very close to other implementations, I had to increase number of steps somewhat to get convergence...but this is expected (of course many tricks to improve convergence)... I would not be surprised if implementation breaks down in some special cases...what are the input you used in your example? DI have code in my new C++ book and thet is a ready-to-run VS2005 projects. One of the options is CN you can choose from. Apart from the aforementioned issues, I cannot rule out round-off errors. Maybe.Do you have some values I can throw at the code to see if I can reproduce the values?
Last edited by Cuchulainn on January 11th, 2007, 11:00 pm, edited 1 time in total.
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