The numerical-methods tag has no wiki summary.
17
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2answers
978 views
How to quickly estimate a lower bound on correlation for a large number of stocks?
I would like to find stock pairs that exhibit low correlation. If the correlation between A and B is 0.9 and the correlation between A and C is 0.9 is there a minimum possible correlation for B and C? ...
14
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3answers
608 views
When do Finite Element method provide considerable advantage over Finite Differences for option pricing?
I'm looking for concrete examples where a Finite Element method (FEM) provides a considerable advantages (e.g. in convergence rate, accuracy, stability, etc.) over the Finite Difference method (FDM) ...
10
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1answer
209 views
What weights should be used when adjusting a correlation matrix to be positive definite?
I have a correlation matrix $A$ for an equity market that is not positive definite. Higham (2002) proposes the Alternating Projections Method, minimising the weighted Frobenius norm $||A-X||_W$ where ...
9
votes
2answers
202 views
Effective Euro-USD (EURUSD) Exchange Rate Prior to Euro's Existence
Motivation: I am running a quantitative analysis that requires long-term, exchange rate data.
Problem: Does anyone have methods for dealing with the EURUSD exchange rate prior to the Euro's ...
8
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3answers
420 views
Reference on Markov chain Monte Carlo method for option pricing?
I have to implement option pricing in c++ using Markov chain Monte Carlo. Is there some paper which describes this in detail so that I can learn from there and implement?
8
votes
3answers
712 views
What tools are used to numerically solve differential equations in Quantitative Finance?
There are a lot of Quantitative Finance models (e.g. Black-Scholes) which are formulated in terms of partial differential equations. What is a standard approach in Quantitative Finance to solve these ...
7
votes
1answer
219 views
When pricing options, what precision should I work with?
I'm wondering if there's any point at all in double-precision calculations, or whether it's ok to just do everything in single-precision, seeing how the difference on non-Tesla GPUs for single and ...
5
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2answers
391 views
What is Quantization ?
I have asked myself many times about Quantization Numerical Methods, is anyone here familiar with the subject and could give a reasonable insight of what Quantization concepts are about, and what are ...
5
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1answer
371 views
QuantLib and exact numerical simulation
I've just downloaded quantlib and started playing around with it, and it looks like it's designed primarily to use Euler discretizations for everything -- so far as I can tell, there's not even a ...
4
votes
1answer
336 views
How to apply quasi-Monte Carlo to path-dependent options?
Following up on my recent question on variance reduction in a Cox-Ingersoll-Ross Monte Carlo simulation, I would like to learn more about using a quasi-random sequence, such as Sobol or Niederreiter, ...
4
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0answers
141 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
1answer
199 views
3
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1answer
127 views
Parameter estimation using martingale measures - include real world data?
Please note: I posted this in nuclearphynance first, but didn't get any replies.
For desks which sell exotics it is common practice (as far as I know it) to calibrate the model (Stochastic ...
1
vote
2answers
137 views
How can I estimate the parameters of an option value model of retirement?
I am modelling an option value model of retirement, see for instance Stock and Wise (1990). I am however not sure to which class of problems this model falls into and hence which optimization method I ...
0
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3answers
337 views
Why C is still in use especially in area of numerical optimization (instead of C++)? [closed]
Why C is still in use especially in area of numerical optimization (instead of C++) ?
C and C++ aren't fully compatible so mayby you know some differances that make the difference ?
