Articles

Software Frameworks in Quantitative Finance, Part I: Fundamental Principles and Applications to Monte Carlo Methods

We discuss a number of ongoing efforts when developing customizable software systems and frameworks for problems in Quantitative Finance. In particular, we examine the interplay between architecture, patterns and modern object-oriented and generic programming paradigms. […]

Editor's Blog

CCR KVA Relief Through CVA, Homotopy Analysis for SABR and XVA, R for ML: Self Organising Maps for Risk Analysis

In ‘CCR KVA Relief through CVA: a Regression-based Monte Carlo Approach’, published in the January 2019 issue of Wilmott Magazine,  Christoph M. Puetter, Stefano Renzitti, Allan Cowan present and examine, by example of a USD […]

Articles

Monte Carlo in Esperanto

This article shows how a simple parser environment in Excel/VBA could be used to perform single and multi-dimensional Monte Carlo. The clsMathParser is a class for math expression evaluation in Excel/VBA. We show that a […]

Articles

Monte Carlo Methods in Quantitative Finance Generic and Efficient MC Solver in C++ : Wilmott Magazine Article – Daniel Duffy and Joerg Kienitz

We describe how we have designed and implemented a software architecture in C++ to model one-factor and multifactor option pricing problems. We pay attention to the fact that different kinds of applications have their own […]

Articles

Automatic Differentiation for the Greeks

The sensitivities of the value of an option to the model parameters, a.k.a. “the Greeks,” are crucial to understanding the risk of an option position, as well as tasks such as model calibration. Outside a […]