Double barrier hitting time approximation

Attached is a write up I did on approximating symmetric double barrier hitting times. Long story short, use t = (a/(sigma N^{-1}(1 - p/4)))^2 where p is uniform [0,1]. That should be a little fast...

Id #1677 | Release: None | Updated: Nov 25, 2013 at 6:29 PM by keithalewis | Created: Nov 25, 2013 at 6:29 PM by keithalewis

Report coordinator

Make sure all the data going into the report is in a consistent format and the presentation effectively communicates what we are trying to establish. Do not underestimate the importance of this.

Id #1668 | Release: None | Updated: Nov 16, 2013 at 3:25 AM by keithalewis | Created: Nov 16, 2013 at 3:25 AM by keithalewis

More statistics

Use consistent parameters for the delta, slsg, and gamma hedges. Create multiple copies of spreadsheets to capture the data generated. We still need to establish the relationship between the delt...

Id #1667 | Release: None | Updated: Nov 22, 2013 at 10:47 PM by keithalewis | Created: Nov 16, 2013 at 3:17 AM by keithalewis

Optimize double_hitting_cdf

I updated https://fmsgjr.codeplex.com/SourceControl/latest#distribution.h to clarify the tolerance logic. The root finding algorithm is the bottleneck. Finding a better initial guess can help with ...

Id #1666 | Release: None | Updated: Nov 16, 2013 at 2:53 AM by keithalewis | Created: Nov 16, 2013 at 2:53 AM by keithalewis

Add try ... catch wrappers to add-ins

As Yuanqin pointed out, it is no big deal to do this by hand. Attached are some code snippets you may or may not find useful. Unzip them into Documents\Visual Studio 2012\Code Snippets\Visual C++ a...

Id #1665 | Release: None | Updated: Nov 16, 2013 at 2:47 AM by keithalewis | Created: Nov 16, 2013 at 2:47 AM by keithalewis

P&L reporting

Given account info A_j at t_j, write functions for the following: (Familiarize yourself with std::accumulate and std::partial_sum from <numeric>.) Final balance. max/min/mean balance. drawdown/up...

Id #1647 | Release: None | Updated: Oct 18, 2013 at 11:02 PM by keithalewis | Created: Oct 18, 2013 at 11:02 PM by keithalewis

Add tests for each function in header

E.g. nextHit(). Work out a couple of example on paper and then write code to assert/ensure you are getting the same results. For random variables write Excel function to generate the variates and ...

Id #1646 | Release: None | Updated: Oct 18, 2013 at 10:41 PM by keithalewis | Created: Oct 18, 2013 at 10:40 PM by keithalewis

How good is the hedge?

Write a function that takes a simulation and uses the account function to compute the difference between the hedge and the option payoff at expiration assuming the hedge is self-financing. Calcula...

Id #1642 | Release: None | Updated: Oct 17, 2013 at 5:05 AM by keithalewis | Created: Sep 24, 2013 at 2:53 AM by keithalewis

Brownian motion exiting a corridor

Link to the double barrier problem: http://math.stackexchange.com/questions/32302/first-exit-time-for-brownian-motion-without-drift If T = inf {t > 0 : B_t > a or B_t < -b} then 0 = B(0) = E B(t)...

Id #1641 | Release: None | Updated: Sep 27, 2013 at 9:29 PM by keithalewis | Created: Sep 21, 2013 at 9:30 PM by keithalewis

  • 1-9 of 9 Work Items
    • Previous
    • 1
    • Next
    • Showing
    • All
    • Work Items