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Jan
8
comment Fastest solver possible for portfolio optimization
You might consider concentrating on the objective function calculations. Matlab is good with vectorizing things, but sometimes an inefficient loop hides in there somewhere. Your problem is easy enough to put in C, just to make sure.
Jan
7
comment Geometric Brownian Motion - increasing simulations or smaller step size
There is no discretization error
Jan
6
comment Geometric Brownian Motion - increasing simulations or smaller step size
Your equations above are completely wrong, including because they do not scale the exponential term by $S$. You should use the strong solution instead.
Dec
18
comment Monte Carlo VaR assuming logistic distribution
How are you calibrating your marginal logistic distribution, and how are you specifying and calibrating their cointegration?
Nov
20
comment Is marginal probability of default the same as conditional probability of default?
As a minor quibble, there is good reason to prefer a different definition of the hazard rate as the generalized derivative of the cumulative default probability, consistent with measure theory in general.
Nov
16
comment Implied volatility of a complex options position
Sometimes people take the implied vol of a complex position like this to see what "vol" a market-maker is charging them for a package.
Nov
5
comment Delta Volatility Surface Usage to value the option
This question is rather unclear; I cannot tell what it's really asking.
Oct
27
comment Boundary conditions: Dirichlet vs Neumann
I had to look up Robin boundary conditions just now. I have never seen them used in finance (and I've seen a hell of a lot of PDE solvers in my day). It's definitely valid, but you would have to quantify what you mean by a "better" approximation before trying to judge its potential advantages. The disadvantages are obvious: (1) another degree of freedom (relative weight) to hassle with in the PDE solver and (2) combined complexity of both Dirichlet and Neumann terms. Overall, I'm skeptical about its value.
Oct
22
comment pricing american calls on non dividend paying stocks
Who is this "we", kemosabe?
Oct
20
comment Callable bond pricing
I am not referring to this particular bond, but rather to the fact that when these cases pop up it is usually because the company is a sufficiently good credit that they could cal the outstanding bond away and issue a new one in its place at a somewhat lower interest rate, thereby saving themselves some money.
Oct
14
comment How to find the fx lookback floating/fixed strike options prices?
These are exotics. I don't think even a Bloomberg feed would help you find prices. Instead, you will need to find a friend at an investment bank and convince them to let you use some data. For volatilities you could use vol surfaces of vanilla options.
Oct
14
comment How to hedge an ETF position with a basket of its underlying components
Here's an interesting fact: not even the ETF administrators necessarily have the "right" portfolio. This is particularly common for corporate bond ETFs. Due to liquidity concerns its just too hard to have the same mix of bonds from the tracked index, so they publish a list of more-or-less equivalent bonds they will accept as components substitutes in creation/redemption trades.
Oct
5
comment Why does it take so many lines of code to price even the simplest of options with QuantLib
This response nails it. QuantLib is not an option pricing calculator, but rather a framework mean to work in the context of bigger, more sophisticated systems.
Oct
1
comment How to get around flat likelihood function when calibrating GBM parameters?
normpdf should be fine. It might even be better-optimized by the Matlab virtual machine.
Sep
30
comment Raw (level) variable is significant while log return is not significant
Good question...updated.
Sep
11
comment Get institutional holdings of stocks programmatically
Those institutional holdings are reported to the SEC, I believe. Therefore it seems likely somebody has it available in a nice format, but like you I don't know who.
Aug
31
comment Approximate asian geometric option with Heston
The skew of stochastic vol increments is quite, high, making Euler scheme prices inaccurate...though you have 6 digits of precision on your MC price estimate, it is likely that the true price is significantly different.
Aug
31
comment Approximate asian geometric option with Heston
Can you post your Monte Carlo code, too? If you are using Euler discretization that could be a problem.
Jun
29
comment How to derive the implied probability distribution from B-S volatilities?
Thanks, @Robino.
May
24
comment Option Pricing under Jump Diffusion Models
You can also add an extra asset to the hedging portfolio, and obtain a complete model thereby.