# 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 ...
• 13.8k
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, $$U(C_t,C_{t+1})=u(C_t)+\beta \mathbb{E}_t[u(C_{t+1})],$$ ...
• 13.8k
Accepted

• 6,743
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 ...
• 6,743

### 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
• 4,217

### 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 ...
• 2,255

### 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 ...
• 948

### C++ code Thomas algorithm for solving a pentadiagonal Ax=b

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 ...
• 356