### Binary Backwards

Anybody who writes exams or performs job interviews knows the value of questions. If they are based on true stories or statements, even better. To my delight this showed up in my Twitter timeline: (Let […]

Anybody who writes exams or performs job interviews knows the value of questions. If they are based on true stories or statements, even better. To my delight this showed up in my Twitter timeline: (Let […]

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In this article we apply the ADE method to a number of partial differential equations in option pricing using one-factor models (Black–Scholes, local volatility, uncertain volatility). We first give an introduction to ADE. We discuss […]

We apply order statistics to the setting of VaR estimation. Here techniques like historical and Monte Carlo simulation rely on using the k-th heaviest loss to estimate the quantile of the profit and loss distribution […]

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In Heston’s stochastic volatility framework [Heston 1993], semi-analytical formulæ for plain vanilla option prices can be derived. Unfortunately, these formulæ require the evaluation of logarithms with complex arguments during the involved inverse Fourier integration step. […]

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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 […]

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