I know two applications of local time in option pricing theory. First, it allows a derivation of Dupire's formula on local volatility in a neat way (i.e. without resorting to differential operator ...
I'm looking to optimize a portfolio maximizing expected return for a particular risk budget, but with absolute constraints on the individual instrument positions. I've been experimenting with QP, ...
Engineers put a lot of time and effort in developping high quality finite element (FE) software (deal.II, Dune, Elmer,...). So I was wondering if some of those tools would be suitable for quantitative ...
Practical quantitative finance problems that could be solved in trustless grid computing environment?
Are there any relevant computationally intensive quantitative finance problems that could be outsourced to a trustless grid? By a trustless grid I mean that you cannot trust it with the access to your ...