Questions tagged [development]

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Pricing interest rate options in emerging markets

I've been thinking how to price the early payment of mortgages in banks from emerging markets, where swaptions/caps/floors aren't available, and how to hedge this kind of options. At first I thought ...
Jose Pedro Melo's user avatar
1 vote
2 answers

Using OpenCL video cards to offload Quant Finance calculations, what features should I look for?

I'm benchmarking some software and am looking for cards that are better at parallel multiplication vs parallel addition. Is there any prior work that may have this information? What GPU features ...
makerofthings7's user avatar
12 votes
5 answers

What benefits are there to employing agile software development methodologies for quants?

Perusing the other SE network sites, particularly Programmers, I often find vigorous support for various agile software development methodologies, particularly the various values known as Extreme ...
Tal Fishman's user avatar
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17 votes
6 answers

References for developing an automated trading system?

I am looking for references on the architecture of automated trading systems and the trading algorithms behind them. I am more interested in system development than analysis. A couple of books I ...
Tae-Sung Shin's user avatar
60 votes
13 answers

Switching from C++ to R - limitations/applications

I've only recently begun exploring and learning R (especially since Dirk recommended RStudio and a lot of people in here speak highly of R). I'm rather C(++) oriented, so it got me thinking - what are ...
Karol J. Piczak's user avatar