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0
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1answer
897 views

estimate implied volatility using newton-raphson in python

I am trying to calculate the implied volatility using newton-raphson in python, but the value diverges instead of converge. What is wrong with the code? ...
-1
votes
1answer
56 views

Numerical computation of Heston model Integral: Simpsone Rule or Gauss-Legendre Method

I want to price a call option using the Heston model for a given set of parameters. theory from URL: http://elis.sigmath.es.osaka-u.ac.jp/research/Heston-original.pdf The integral equation (18) ...
4
votes
0answers
177 views

Use of Local Times in Option Pricing

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 ...
3
votes
0answers
208 views

What R-packages for SOCP problems are there?

Currently, I am looking deeper into the topic of second-order cone programming. Could you suggest packages that solve SOCP-problems in R? With your answer, please provide a short description of ...
2
votes
0answers
51 views

Time discretisations, FDM vs FEM

I am interested in adaptive mesh methods for numerical solution of PDEs with applications to finance. As part of a school project, I have been pricing vanilla European call and put options using 2D ...
2
votes
0answers
168 views

Portfolio optimization with absolute position constraints

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, ...
1
vote
0answers
52 views

School project about Black Scholes with stochastic volatility

In a university project I am looking at Black Scholes model with a stochastic volatility. I’m still not quite sure about my focus (I am in the beginning 'Idea phase'). I want to explain the theory ...
1
vote
0answers
30 views

Jacobian for Newton method for American options by front fixing

In this paper Penalty and front-fixing methods for the numerical solution of American option problems a front fixing method based on Newton is described for an American put option is described. I am ...
1
vote
0answers
17 views

Stiffness of numerical methods for SDE

What can I do with stiffness of numerical methods for SDE? I want to use numerical approach for solving SDE in market's scenarios generation. Is there any general approach to handle it?
1
vote
0answers
62 views

Order 1.5 strong SDE integration methods for systems with diagonal additive noise

I'm looking into simple-to-implement and efficient order 1.5 strong SDE integration schemes for my system. My noise is diagonal and additive (possibly time-varying). Thus methods designed for either ...
1
vote
0answers
127 views

Do you use software for finite element valuation or do you roll your own?

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 ...
1
vote
0answers
146 views

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 ...