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| FORUMS > Numerical Methods Forum | Replies | Views | Originator | Last Post | |||||||
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Help with Heston Finite Difference | 0 | 17 | monraf |
Mon May 20, 13 01:53 AM by monraf |
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Any Alternative to NAG for mac? | 0 | 50 | AnalyticalVega |
Sun May 19, 13 05:59 PM by AnalyticalVega |
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Some basic quastions abot numerical methods | 17 | 554 | fantinity |
Sat May 18, 13 07:02 PM by fantinity |
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Dealing with large data sets | 4 | 804 | ZX |
Thu May 02, 13 01:26 PM by ExSan |
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Garman Kohlhagen Model 3 call prices | 0 | 448 | Gordonhk |
Mon Apr 29, 13 11:45 AM by Gordonhk |
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choice of strikes for calibration | 1 | 553 | Kamil90 |
Fri Apr 26, 13 02:33 PM by almostcutmyhair |
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Hurd and Zhou FFT Spread Options | 4 | 14494 | mc22 |
Sun Apr 21, 13 04:30 PM by Lapsilago |
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FDM scheme for implicit functional PDE | 14 | 890 | frenchX |
Thu Apr 18, 13 11:06 PM by cout |
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Help with SVI | 9 | 25774 | estimator |
Thu Apr 18, 13 06:02 PM by almostcutmyhair |
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Heston model, convergent or not?
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22 | 2411 | fmfreshman |
Tue Apr 16, 13 02:49 AM by mj |
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Multidimensional PCA | 4 | 753 | Assoul |
Wed Apr 10, 13 04:07 PM by Assoul |
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Improve performance of Excel Solver and alternatives in C++
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82 | 28210 | Steve06 |
Wed Apr 10, 13 11:04 AM by daveangel |
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2D Stokes flow in finite differences - singular matrix | 3 | 801 | kombek |
Mon Apr 08, 13 07:59 AM by Cuchulainn |
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American Basket Options | 4 | 728 | fantinity |
Sun Apr 07, 13 08:24 PM by Cuchulainn |
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SABR density case Beta = 1 | 1 | 771 | Kerkabanac |
Sat Apr 06, 13 02:14 AM by Alan |
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Finite Element Method (FEM) for Option Pricing
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111 | 40752 | Cuchulainn |
Fri Apr 05, 13 11:19 PM by Alan |
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HJM simulation | 0 | 675 | Dantas |
Fri Apr 05, 13 09:05 AM by Dantas |
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New ODE Solver Library in Boost > 1.53 | 0 | 852 | Cuchulainn |
Fri Mar 29, 13 10:03 PM by Cuchulainn |
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About Writing paper | 7 | 1025 | naeemjan |
Fri Mar 29, 13 10:50 AM by edouard |
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To Evaluate E[exp(X)] numerically | 5 | 1010 | Avataryj |
Mon Mar 25, 13 06:22 PM by Alan |
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Kalman Filter | 2 | 1085 | Gerry105 |
Sun Mar 24, 13 10:19 PM by Gerry105 |
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Risk-neutral density recovery via spectral analysis | 4 | 1149 | kermittfrog |
Fri Mar 22, 13 08:56 PM by Culverin |
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Matlab ode45 | 1 | 1054 | LesleYLyu |
Wed Mar 20, 13 10:01 PM by OOglesby |
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Calibration Local Volatility (Andrease)
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27 | 4579 | dnxaque |
Wed Mar 20, 13 03:37 PM by QuantCentral |
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Marginal Cost Volatility | 7 | 1114 | Steilermeier |
Mon Mar 18, 13 05:07 PM by Steilermeier |
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Data Reduction using Discrete Wavelet Transform
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24 | 1477 | blackscholes |
Sun Mar 17, 13 05:59 PM by outrun |
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Fast Fourier vs COS method
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23 | 21114 | frolloos |
Fri Mar 15, 13 08:17 PM by LesleYLyu |
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Most efficient and accurate way to calculate bond yield
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60 | 20254 | Cuchulainn |
Mon Mar 11, 13 05:58 AM by Cuchulainn |
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solving 2D forward PDE with initial Dirac condition | 12 | 1500 | kelang |
Thu Mar 07, 13 06:03 PM by Cuchulainn |
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Closed form solution for autocalls ? | 1 | 1533 | reaverprog |
Tue Feb 26, 13 12:48 AM by mj |
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Interest rate volatility | 2 | 1510 | ystrica |
Fri Feb 22, 13 11:09 PM by outrun |
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Stochastic Credit Spread modeling Help | 0 | 1484 | dragonday2004 |
Wed Feb 13, 13 10:50 PM by dragonday2004 |
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How to Calculate Portfolio price changes. | 3 | 1648 | dmitryDNK |
Wed Feb 13, 13 11:08 AM by Mars |
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Convection dominated BS pde
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29 | 2335 | Kamil90 |
Wed Feb 13, 13 07:18 AM by Cuchulainn |
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How to price options with an EXCESS RETURN Index as underlying | 3 | 1641 | NMA1982 |
Sat Feb 09, 13 01:59 AM by BramJ |
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help with discretization schemes for SDE in Heston
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119 | 37852 | ninjawarrier |
Thu Feb 07, 13 10:09 AM by Cuchulainn |
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Finding the cheapest bond to it's own curve | 0 | 1537 | ystrica |
Wed Feb 06, 13 03:24 PM by ystrica |
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Application of Order of Convergence
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48 | 2791 | fmfreshman |
Fri Feb 01, 13 12:12 PM by outrun |
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Adding leverage & Target Vol in ERC solution outlined by Roncalli, Maillard et al's numerical solution | 2 | 1631 | vzomtr |
Fri Feb 01, 13 11:45 AM by FaridMoussaoui |
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Fast Fourier Transform on Correlation Options | 3 | 2188 | b4byZ |
Thu Jan 24, 13 09:25 PM by mj |
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| FORUMS > Numerical Methods Forum | |||||||||||
