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Cuchulainn
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Re: PDE methods for optimal quantizers of stochastic processes ? An example with Heston PDE.

February 16th, 2017, 1:56 pm

outrun wrote:
Would be cool to see how Cuch's framework and tricks would preform relative to Billy7 working solver which seems to work great.

What would be the timeline, soon -or- someday but not anytime soon?

Soon, before end April 2017. It's a hard deadline.  In fact, several of us have coded it up but not exactly for Heston and I want to put in the new stuff for Heston.
http://www.datasimfinancial.com

“Continuous improvement is better than delayed perfection.” Samuel Langhorne Clemens
 
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Cuchulainn
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Re: PDE methods for optimal quantizers of stochastic processes ? An example with Heston PDE.

February 16th, 2017, 2:01 pm

Often, too low accuracy in the objective function will hinder convergence. If your objective function has accuracy that is too low, the optimizer can get confused, and run for 100 steps, never converging. With higher accuracy, it might run 15 steps (each 'step' involving say 20 evaluations of the objective function) and converge.

So, you are saying that the particular solver used is sensitive to noise and/or initial guess?
Maybe a solver that is less sensitive?
http://www.datasimfinancial.com

“Continuous improvement is better than delayed perfection.” Samuel Langhorne Clemens
 
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Alan
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Re: PDE methods for optimal quantizers of stochastic processes ? An example with Heston PDE.

February 16th, 2017, 3:16 pm

I assume you meant "optimizer" not "solver". Yeah, in Mathematica anyway, it is a trade-off.

FindMinimum is very sensitive to noise, and if there is too much, it will just cycle. NMinimize (using the Differential Evolution method) is less sensitive to noise, but typically is much slower. 
Last edited by Alan on February 16th, 2017, 3:23 pm
 
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outrun
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Re: PDE methods for optimal quantizers of stochastic processes ? An example with Heston PDE.

February 16th, 2017, 3:21 pm

Cuchulainn wrote:
outrun wrote:
Would be cool to see how Cuch's framework and tricks would preform relative to Billy7 working solver which seems to work great.

What would be the timeline, soon -or- someday but not anytime soon?

Soon, before end April 2017. It's a hard deadline.  In fact, several of us have coded it up but not exactly for Heston and I want to put in the new stuff for Heston.

Nice.
You keep saying Heston, but you mean Garch (the topic of Alan's goal), right?
 
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Cuchulainn
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Re: PDE methods for optimal quantizers of stochastic processes ? An example with Heston PDE.

February 17th, 2017, 10:08 am

outrun wrote:
Cuchulainn wrote:
outrun wrote:
Would be cool to see how Cuch's framework and tricks would preform relative to Billy7 working solver which seems to work great.

What would be the timeline, soon -or- someday but not anytime soon?

Soon, before end April 2017. It's a hard deadline.  In fact, several of us have coded it up but not exactly for Heston and I want to put in the new stuff for Heston.

Nice.
You keep saying Heston, but you mean Garch (the topic of Alan's goal), right?

I mean indeed Heston PDE and its FD approximation which is one the themes here (it's  project in itself in any case).. If I have understood Billy7 properly, GARCH can be done based on it?(?)
http://www.datasimfinancial.com

“Continuous improvement is better than delayed perfection.” Samuel Langhorne Clemens
 
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outrun
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Re: PDE methods for optimal quantizers of stochastic processes ? An example with Heston PDE.

February 17th, 2017, 10:32 am

Cuchulainn wrote:
outrun wrote:
Cuchulainn wrote:
Soon, before end April 2017. It's a hard deadline.  In fact, several of us have coded it up but not exactly for Heston and I want to put in the new stuff for Heston.

Nice.
You keep saying Heston, but you mean Garch (the topic of Alan's goal), right?

I mean indeed Heston PDE and its FD approximation which is one the themes here (it's  project in itself in any case).. If I have understood Billy7 properly, GARCH can be done based on it?(?)

Yes is was a theme here, but Alan's challenge is specifically about calibration the GARCH parameters. Maybe we should move that challenge to a new thread?
 
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Cuchulainn
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Re: PDE methods for optimal quantizers of stochastic processes ? An example with Heston PDE.

February 17th, 2017, 11:13 am

There seems to be several sub-projects going on here. Maybe someone can scope them so that they can be worked on independently?
http://www.datasimfinancial.com

“Continuous improvement is better than delayed perfection.” Samuel Langhorne Clemens
 
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outrun
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Re: PDE methods for optimal quantizers of stochastic processes ? An example with Heston PDE.

February 17th, 2017, 11:40 am

Cuchulainn wrote:
There seems to be several sub-projects going on here. Maybe someone can scope them so that they can be worked on independently?

Yes. One active one is Alan's challenge, with 4 sub challenges, $15.000 price money each afaik.
 
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Billy7
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Re: PDE methods for optimal quantizers of stochastic processes ? An example with Heston PDE.

February 17th, 2017, 12:57 pm

Cuchulainn wrote:
outrun wrote:
Cuchulainn wrote:
Soon, before end April 2017. It's a hard deadline.  In fact, several of us have coded it up but not exactly for Heston and I want to put in the new stuff for Heston.

Nice.
You keep saying Heston, but you mean Garch (the topic of Alan's goal), right?

I mean indeed Heston PDE and its FD approximation which is one the themes here (it's  project in itself in any case).. If I have understood Billy7 properly, GARCH can be done based on it?(?)

Yes, that was my experience, though I haven't been able to test more, maybe today. As can readily be seen by comparing the Heston and GARCH pricing PDEs, the only thing different is the power of v in the diffusion and cross derivative terms. So the mechanics should be the same, but obviously stability characteristics would change. Other details change as well, but overall going from one to the other shouldn't be much of a problem.
Last edited by Billy7 on February 17th, 2017, 12:58 pm
 
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Cuchulainn
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Re: PDE methods for optimal quantizers of stochastic processes ? An example with Heston PDE.

February 17th, 2017, 12:57 pm

outrun wrote:
Cuchulainn wrote:
There seems to be several sub-projects going on here. Maybe someone can scope them so that they can be worked on independently?

Yes. One active one is Alan's challenge, with 4 sub challenges, $15.000 price money each afaik.

Do we get 20% up front for initial layout costs?
http://www.datasimfinancial.com

“Continuous improvement is better than delayed perfection.” Samuel Langhorne Clemens
 
User avatar
Cuchulainn
Posts: 51710
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
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Re: PDE methods for optimal quantizers of stochastic processes ? An example with Heston PDE.

February 17th, 2017, 12:59 pm

outrun wrote:
Cuchulainn wrote:
There seems to be several sub-projects going on here. Maybe someone can scope them so that they can be worked on independently?

Yes. One active one is Alan's challenge, with 4 sub challenges, $15.000 price money each afaik.

Do we get 20% up front for initial layout costs?
http://www.datasimfinancial.com

“Continuous improvement is better than delayed perfection.” Samuel Langhorne Clemens
 
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Billy7
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Joined: March 30th, 2016, 2:12 pm

Re: PDE methods for optimal quantizers of stochastic processes ? An example with Heston PDE.

February 17th, 2017, 12:59 pm

outrun wrote:
Cuchulainn wrote:
There seems to be several sub-projects going on here. Maybe someone can scope them so that they can be worked on independently?

Yes. One active one is Alan's challenge, with 4 sub challenges, $15.000 price money each afaik.

Damn, enough fooling around then, I'll finish all 4 today!
 
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Cuchulainn
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Re: PDE methods for optimal quantizers of stochastic processes ? An example with Heston PDE.

February 17th, 2017, 2:16 pm

A micro optimiser regarding Godonov Double Sweep vs Thomas (ADI)

We have stress-tested these solvers when applied to the heat equation that we discuss in section 13.3 using mesh sizes of 100,000 in space and time. Both methods give accurate results (even though the double sweep tend to be more accurate). The processing times in seconds were in the ranges [490, 588] for double sweep and [730, 780] for the Thomas algorithm.
http://www.datasimfinancial.com

“Continuous improvement is better than delayed perfection.” Samuel Langhorne Clemens
 
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Cuchulainn
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Re: PDE methods for optimal quantizers of stochastic processes ? An example with Heston PDE.

February 17th, 2017, 2:19 pm

Billy7 wrote:
outrun wrote:
Cuchulainn wrote:
There seems to be several sub-projects going on here. Maybe someone can scope them so that they can be worked on independently?

Yes. One active one is Alan's challenge, with 4 sub challenges, $15.000 price money each afaik.

Damn, enough fooling around then, I'll finish all 4 today!

Is that Eastern Standard Time or Rocky Mountain Time? Don't tell me., Daylight Saving Time :D
https://www.youtube.com/watch?v=l5Kdc0LLSW8

Or as Fred Brooks say
Q How does a s/w project get behind schedule?
A. One day at a time.
http://www.datasimfinancial.com

“Continuous improvement is better than delayed perfection.” Samuel Langhorne Clemens
 
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Billy7
Posts: 184
Joined: March 30th, 2016, 2:12 pm

Re: PDE methods for optimal quantizers of stochastic processes ? An example with Heston PDE.

February 17th, 2017, 3:54 pm

Cuchulainn wrote:
Billy7 wrote:
outrun wrote:
Yes. One active one is Alan's challenge, with 4 sub challenges, $15.000 price money each afaik.

Damn, enough fooling around then, I'll finish all 4 today!

Is that Eastern Standard Time or Rocky Mountain Time? Don't tell me., Daylight Saving Time :D
https://www.youtube.com/watch?v=l5Kdc0LLSW8

Or as Fred Brooks say
Q How does a s/w project get behind schedule?
A. One day at a time.

Indeed, I guess it's gonna have to wait till tomorrow then:)
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