Beer4All
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 Aug 11 awarded Critic Aug 8 awarded Revival Aug 7 awarded Autobiographer Aug 7 revised How do I estimate convergence in monte carlo methods? added 11 characters in body Aug 7 revised How do I estimate convergence in monte carlo methods? deleted 6 characters in body Aug 7 answered How do I estimate convergence in monte carlo methods? Aug 5 comment Switching from C++ to R - limitations/applications I have spent some time during the last weeks to infer parameters (calibrate) of a vol-sto model (hence using the classical Baysian inference theory). I used C# interfaced with R, no memory problem, even with a parallelized implementation.. Aug 5 comment Switching from C++ to R - limitations/applications Anyone to defend C#?? Aug 5 comment Switching from C++ to R - limitations/applications @Karol Piczac since i have migrated to R-Evolution i have no more problem with big data file, have a look at this (revolutionanalytics.com/products/revolution-enterprise.php) Jul 25 answered What programming languages are most commonly used in quantitative finance? Jul 17 comment Obtaining characteristics of stochastic model solution you wrote $\langle S\rangle_t=\sigma^2t$ instead of $\langle S_t\rangle=\sigma^2S_t^2t$. (RockScience obtained the right sde) Jul 15 comment Obtaining characteristics of stochastic model solution For me MC methods are often the fastest way to get rapid & painless solutions, useful to test your results. Jul 15 comment Obtaining characteristics of stochastic model solution pdf = probability density function. To get numerically an empiricall estimate of your density function: 1 -- draft sample of $X_t$, 2 -- trace the empirical cdf (cumulative distribution function) of this sample 3 -- then compute (numerically) the differentiated function which is nothing but the empirical density ;) Jul 15 comment Obtaining characteristics of stochastic model solution Why not considering the empirical way (MC) to get the pdf? Jul 15 comment Obtaining characteristics of stochastic model solution can you put some details on your filtration $F_t$? Jul 15 awarded Editor Jul 15 revised Obtaining characteristics of stochastic model solution added 412 characters in body Jul 15 answered Obtaining characteristics of stochastic model solution Jul 6 answered Formal proof for risk-neutral pricing formula Jun 28 awarded Teacher