finance-engineer-tanmay.blogspot.com

Journey of a financial Engineer

Journey of a financial Engineer. Wednesday, June 15, 2011. Solving the Modified OU PDE and Calculate Mean Reversion rate. Calculating theta from the hazard rate curve:. We believe that the hazard rate follows the Ornstein-Uhlenbeck process. Iven an initial term structure of hazard rate, we can find the value for θ by first calculating the closed form solution for the above pde and then eliminating the stochastic term from the solution. If we have a PDE of the form dX=F(t,X)dx σXdW ,Initial Condition=X0.

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Journey of a financial Engineer. Wednesday, June 15, 2011. Solving the Modified OU PDE and Calculate Mean Reversion rate. Calculating theta from the hazard rate curve:. We believe that the hazard rate follows the Ornstein-Uhlenbeck process. Iven an initial term structure of hazard rate, we can find the value for θ by first calculating the closed form solution for the above pde and then eliminating the stochastic term from the solution. If we have a PDE of the form dX=F(t,X)dx σXdW ,Initial Condition=X0.

<META> KEYWORDS

1 dh=α θ h dt σhdw

2 hence d ifx =iff t x dt

3 d ifx /dt=iff t x

4 posted by

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dh=α θ h dt σhdw,hence d if*x =if*f t x dt,d if*x /dt=if*f t x,posted by,tany,no comments,email this,blogthis,share to twitter,share to facebook,share to pinterest,matlab code,if i,else,hist difference 500 ;,standard error=std difference /sqrt n ;,for cos

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https://finance-engineer-tanmay.blogspot.com

Journey of a financial Engineer. Wednesday, June 15, 2011. Solving the Modified OU PDE and Calculate Mean Reversion rate. Calculating theta from the hazard rate curve:. We believe that the hazard rate follows the Ornstein-Uhlenbeck process. Iven an initial term structure of hazard rate, we can find the value for θ by first calculating the closed form solution for the above pde and then eliminating the stochastic term from the solution. If we have a PDE of the form dX=F(t,X)dx σXdW ,Initial Condition=X0.

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finance-engineer-tanmay.blogspot.com

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Journey of a financial Engineer: April 2011

http://finance-engineer-tanmay.blogspot.com/2011_04_01_archive.html

Journey of a financial Engineer. Sunday, April 10, 2011. These problems are some of very famous and chosen by me for my own interview preparations. Just for someone interested and ignorant. the best site for detailed solutions would be wolfram-alpha). Answer: We do it by chain rule assume it as. So we apply chain rule on this function [d. Hence the answer would be (1 log(x). Just noticed another way, this one is not brute force but rather smart way). Log y = xlogx. Dy/y = (logx x/x). Dy = y(logx 1).

2

Journey of a financial Engineer: Basic Mathematics Problems

http://finance-engineer-tanmay.blogspot.com/2011/04/basic-mathematics-problems.html

Journey of a financial Engineer. Sunday, April 10, 2011. These problems are some of very famous and chosen by me for my own interview preparations. Just for someone interested and ignorant. the best site for detailed solutions would be wolfram-alpha). Answer: We do it by chain rule assume it as. So we apply chain rule on this function [d. Hence the answer would be (1 log(x). Just noticed another way, this one is not brute force but rather smart way). Log y = xlogx. Dy/y = (logx x/x). Dy = y(logx 1).

3

Journey of a financial Engineer: Monte-Carlo simulation for dynamic hedging (Matlab)

http://finance-engineer-tanmay.blogspot.com/2011/05/monte-carlo-simulation-for-dynamic.html

Journey of a financial Engineer. Tuesday, May 31, 2011. Monte-Carlo simulation for dynamic hedging (Matlab). The function is checking the effectiveness of delta hedge. By using Monte-carlo simulation Rebalancing time can be calculated. Submitted By : Tanmay Dutta. Simulation method for option Pricing. Function [Difference,standard error]= delta hedgeH3 1(Rebalancing time). Define the parameters for the option. N = 10000;. N = Rebalancing time;. S0 = 100;. Sigma = 0.1;. Z = randn(n,N);. S = zeros(n,N);.

4

Journey of a financial Engineer: LU factorization for a tridigonal matrix in VBA

http://finance-engineer-tanmay.blogspot.com/2011/03/lu-factorization-for-tridigonal-matrix.html

Journey of a financial Engineer. Thursday, March 24, 2011. LU factorization for a tridigonal matrix in VBA. A Mat = Range("A1:E5"). Dim n As Integer. N = UBound(A Mat, 1). Dim l mat() As Double, u mat() As Double, alpha As Double, beta As Double, y array() As Double. ReDim y array(n) As Double. ReDim l mat(n, n) As Double. ReDim u mat(n, n) As Double. For i = 1 To n. For j = i To n. L mat(i, j) = 0. U mat(i, j) = 0. Next j, i. For i = 1 To n. If (i = 1) Then. U mat(i, i) = A Mat(i, i). L mat(i, i) = 1.

5

Journey of a financial Engineer: Simulation of different random variables

http://finance-engineer-tanmay.blogspot.com/2011/03/simulation-of-different-random.html

Journey of a financial Engineer. Thursday, March 24, 2011. Simulation of different random variables. To simulate a random variable of CDF (note its CDF not PDF) the easiest way is. Rand() = uniform random variable(matlab and excel has standard functions for this). Of course this works only when we have some closed form expression for CDF. Hence will not work for distributions like Gaussian etc. I will be updating this page for simulating different distributions using matlab. C simulation for a puzzle.

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Journey of a financial Engineer

Journey of a financial Engineer. Wednesday, June 15, 2011. Solving the Modified OU PDE and Calculate Mean Reversion rate. Calculating theta from the hazard rate curve:. We believe that the hazard rate follows the Ornstein-Uhlenbeck process. Iven an initial term structure of hazard rate, we can find the value for θ by first calculating the closed form solution for the above pde and then eliminating the stochastic term from the solution. If we have a PDE of the form dX=F(t,X)dx σXdW ,Initial Condition=X0.

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