# Tag Info

Accepted

### Least Squares Monte Carlo

To compute the price of an American option or a callable instrument in general, at each potential exercise date, one is required to compare its continuation value (discounted risk-neutral expectation ...
Accepted

### Anyone has detailed explanation on how to use epstein-zin preferences in asset pricing models

Recursive Utility The traditional approach to consumption-based asset pricing includes time separable (additive) expected utility functions, $$U(C_t,C_{t+1})=u(C_t)+\beta \mathbb{E}_t[u(C_{t+1})],$$ ...
Accepted

Accepted

### Quadratic exponential method (by Andersen) in Heston model

There is a qualitative shift in the shape of the density. When V is small it is monotone decaying. When V is large it looks more like a Gaussian. Another reason he uses two schemes is that he wants ...

### Heston Model Integration Oscillations

I'd use FFT or similar rather than direct integration. Here is an old paper with Heston example: Option pricing using fractional FFT

### How should I develop my coding ability in order to set myself up for a quant role?

To test your programming skills, try QuantLib. Can you do interest-rate modelling with QuantLib? Can you debug the 10-level C++ template? Do you know how to use day count? Do you know how to use ...

### Architecture of a global pricing library with immutable payoffs

That's the best question that nearly no one asks. I'm with you on Quantlib and Strata, haven't really seen a very good design around but I've seen quite a few bad ones. It is definitely doable and has ...

### What are the industry standards and rules of thumb when it comes to numerical methods?

1> Analytical - Black Scholes formula for Vanilla European options, Digitals. These valuations are just an "interpolation" of traded options. We interpolate the implied volatility from the traded ...
You are looking to solve a linear system with a band diagonal system matrix $A$ of dimensions $N \times N$ and having the property $m_1 = 2, \, m_2 = 2$, respectively the number of sub-diagonals under ...