quant · Chase the Devil

Monotonicity of the Black-Scholes Option Prices in Practice Sep 29, 2024
Copilot vs ChatGPT on the Optimal Finite Difference Step-Size Jul 25, 2024
News on the COS Method Truncation May 13, 2024
Variance Swap Term-Structure under Schobel-Zhu Mar 26, 2024
New Basket Expansions and Cash Dividends Mar 23, 2024
New Approximations for the Prices of Asian and basket Options Mar 17, 2024
Easy Mistake With the Log-Euler Discretization On Black-Scholes Mar 11, 2024
Roughness of Pure Jumps Dec 18, 2023
Roughness of Stochastic Volatility with Jumps Dec 7, 2023
Measuring Roughness with Julia Nov 7, 2023
Black with Bachelier Oct 3, 2023
Clenshaw-Curtis Quadrature Implementation by FFT in Practice Sep 27, 2023
Ghost Vacations Aug 20, 2023
Maximum Implied Variance Slope May 22, 2023
The Return of the Arbitrage in the Perfect Volatility Surface Mar 29, 2023
Princeton Fintech and Quant conference of December 2022 Dec 4, 2022
Roughness of the Implied Volatility Jul 9, 2022
Volatility: Rough or Not? A Short Review May 10, 2022
Monte-Carlo Parallelization: to vectorize or not? Apr 9, 2022
More Automatic Differentiation Awkwardness Jan 4, 2022
Quadprog in Julia Nov 21, 2021
Positive Stochastic Collocation Aug 31, 2021
Remarkable Coincidences, Bad Book? Nov 21, 2020
More on random number generators Oct 10, 2020
The war of the random number generators Sep 17, 2020
Sobol with 64-bits integers Sep 9, 2020
March 9, 2020 crash - where will CAC40 go? Mar 9, 2020
Numba, Pypy Overrated? Feb 12, 2019
Fixing NaNs in Quadprog Oct 7, 2018
On the Probability of a Netflix Stock Crash Jul 12, 2018
On the Probability of a TSLA Stock Crash Jul 11, 2018
The Fourth Moment of the Normal SABR Model Jun 11, 2018
Implying the Probability Density from Market Option Prices (Part 2) May 27, 2018
Implying the Probability Density from Market Option Prices Feb 13, 2018
Where is the S&P 500 going to end? Feb 6, 2018
Discrete Sine Transform via the FFT Feb 5, 2018
Quantitative Finance Books Citing My Papers Dec 9, 2017
Blogs on Quantitative Finance Jun 21, 2017
Typo in Hyman non-negative constraint - 28 years later May 23, 2017
Implied Volatility from Black-Scholes price Apr 2, 2017
The VIX starts smiling Mar 21, 2017
When SVI Breaks Down Mar 16, 2017
Brownian Bridge and Discrete Random Variables Jan 26, 2017
A new scheme for Heston - Part 2 Jan 23, 2017
Equivalence between floating-strike and fixed-strike Asian options Jan 18, 2017
Bachelier Normal Volatility Asymptotics Jan 17, 2017
A new scheme for Heston Jan 6, 2017
Andreasen-Huge interpolation - Don't stay flat Dec 13, 2016
Put-Call parity and the log-transformed Black-Scholes PDE Dec 5, 2016
Benaim et al. extrapolation does not work on equities Oct 4, 2016
AES for Monte-Carlo Aug 17, 2016
Number of regressors in a BSDE Jul 26, 2016
Shooting arbitrage - part II Jul 5, 2016
Shooting arbitrage - part I Jun 22, 2016
Dearbitraging a weak smile on SVI with Damghani's method Jun 15, 2016
Arbitrage in Zeliade's SVI example Jun 14, 2016
Dupire Local Volatility with Cash Dividends Part 2 May 29, 2016
Dupire Local Volatility with Cash Dividends May 19, 2016
SVI, SABR, or parabola on AAPL? May 12, 2016
Adaptive Filon quadrature for stochastic volatility models May 12, 2016
Least Squares Rational Function Apr 21, 2016
Least Squares Spline for Volatility Interpolation Feb 19, 2016
The Mystic Parabola Feb 16, 2016
Yahoo Finance Implied Volatility Feb 3, 2016
Linear and Flat forward interpolation with cash dividends Jan 19, 2016
Go for Monte-Carlo Aug 22, 2015
Bumping Correlations Jul 25, 2015
Andreasen Huge extrapolation Jul 13, 2015
Unintuitive behavior of the Black-Scholes formula - negative volatilities in displaced diffusion extrapolation Jul 7, 2015
Square Root Crank-Nicolson Jun 19, 2015
Decoding Hagan's arbitrage free SABR PDE derivation May 8, 2015
Matching Hagan PDE SABR with the one-step Andreasen-Huge SABR Apr 30, 2015
Modern Programming Language for Monte-Carlo Apr 18, 2015
Volatility Swap vs Variance Swap Replication - Truncation Mar 16, 2015
Arbitrage free SABR with negative rates - alternative to shifted SABR Mar 11, 2015
Variance swaps on a foreign asset Feb 24, 2015
Jumps impact: Variance swap vs volatility swap Feb 20, 2015
Variance Swap Replication : Discrete or Continuous? Feb 19, 2015
Monte Carlo & Inverse Cumulative Normal Distribution Feb 3, 2015
Local Stochastic Volatility - Particles and Bins Jan 30, 2015
Flat Volatility Surfaces & Discrete Dividends Nov 25, 2014
Machine Learning & Quantitative Finance Nov 18, 2014
Pseudo-Random vs Quasi-Random Numbers Nov 12, 2014
Integrating an oscillatory function Nov 5, 2014
The elusive reference: the Lamperti transform Nov 3, 2014
Barrier options under negative rates: complex numbers to the rescue Oct 2, 2014
Initial Guesses for SVI - A Summary Sep 26, 2014
Asymptotic Behavior of SVI vs SABR Sep 23, 2014
SVI and long maturities issues Aug 1, 2014
More SVI Initial Guesses Jul 31, 2014
Another SVI Initial Guess Jul 29, 2014
New SABR Formulae Jul 16, 2014
Heston or Schobel-Zhu issues with short expiries Jul 3, 2014
Moore-Penrose Inverse & Gauss-Newton SABR Minimization Jun 24, 2014
On the importance of accuracy for bpvol solvers Jun 12, 2014
Two SABR for the same smile May 20, 2014
Heston vs SABR slice by slice fit May 15, 2014
Quadratic Spline with Knots at Mid-Points May 14, 2014
Non-linear Option Pricing Apr 18, 2014
Building a more accurate basis point volatility formula Apr 5, 2014
Fast and Accurate Implied Volatility Solver Mar 19, 2014
Arbitrage Free Interpolation of Option Prices using Piecewise Constant Density Mar 17, 2014
C2 Arbitrage Free Interpolation with Tension Splines Mar 11, 2014
Bachelier and Black-Scholes Fits of the Volatility Surface, what about SABR? Mar 7, 2014
Arbitrage Free Wiggles Mar 3, 2014
Adjoint Delta for Monte-Carlo Feb 25, 2014
SVI on top of SABR Feb 20, 2014
Smart Initial Guess for Schobel-Zhu Feb 19, 2014
A Look at Small Time Expansions for Heston Feb 12, 2014
A Small-Time Schobel-Zhu Expansion Feb 10, 2014
Brownian Bridge or Not with Heston Quadratic Exponential QMC Jan 24, 2014
Adjoint Algorithmic Differentiation for Black-Scholes Jan 21, 2014
Placing the Strike on the Grid and Payoff Smoothing in Finite Difference Methods for Vanilla Options Jan 12, 2014
Coordinate Transform of the Andreasen Huge SABR PDE & Spline Interpolation Jan 8, 2014
Levenberg Marquardt & Constraints by Domain Transformation Dec 17, 2013
Arbitrage Free SABR - Another View on Hagan Approach Dec 14, 2013
American Option on Forward/Futures Nov 21, 2013
Spikes in Heston/Schobel-Zhu Local Volatility Nov 20, 2013
Local Stochastic Volatility with Monte-Carlo Oct 16, 2013
Heston, Schobel-Zhu, Bates, Double-Heston Fit Oct 7, 2013
Second Cumulant of Heston Oct 3, 2013
Maxima for Symbolic Calculus Oct 2, 2013
Making Classic Heston Integration Faster than the Cos Method Sep 5, 2013
Attari, Lord-Kahl & Cos Methods Comparison on Heston Aug 28, 2013
Julia and the Cumulative Normal Distribution Aug 13, 2013
The COS method for Heston Aug 2, 2013
Octave vs Scilab for PDEs in Finance Jul 30, 2013
The CUDA Performance Myth II Jul 12, 2013
Bessel and Harmonic Kinks in the Forward Jul 2, 2013
The Finite Difference Theta Scheme Optimal Theta Jun 18, 2013
Akima for Yield Curve Interpolation ? Jun 3, 2013
2 Ways for an Accurate Barrier with Finite Difference Jun 2, 2013
SABR with the new Hagan PDE Approach May 28, 2013
SABR with Andreasen-Huge May 24, 2013
Large Steps in Schobel-Zhu/Heston the Lazy Way May 17, 2013
Exact Forward in Monte-Carlo May 13, 2013
Quasi Monte Carlo in Finance May 13, 2013
Upper Bounds in American Monte-Carlo Apr 30, 2013
Quasi Monte-Carlo & Longstaff-Schwartz American Option price Apr 22, 2013
A Fast Exponential Function in Java Apr 19, 2013
Root finding in Lord Kahl Method to Compute Heston Call Price (Part III) Apr 12, 2013
Root finding in Lord Kahl Method to Compute Heston Call Price (Part II) Apr 11, 2013
Root finding in Lord Kahl Method to Compute Heston Call Price Apr 9, 2013
From Double Precision Normal Density to Double Precision Cumulative Normal Distribution Apr 2, 2013
Cracking the Double Precision Gaussian Puzzle Mar 22, 2013
A Double Precision Puzzle with the Gaussian Mar 20, 2013
A Seasoned Volatility Swap Mar 14, 2013
A Volatility Swap and a Straddle Mar 12, 2013
Local Volatility Delta & Dynamic Nov 29, 2012
GPU computing in Finance Oct 15, 2012
Binary Voting Sep 7, 2012
Adaptive Quadrature for Pricing European Option with Heston Jun 25, 2012
Gnome Shell more stable than Unity on Ubuntu 12.04 Jun 14, 2012
Why primitive arrays matter in Java Feb 29, 2012
KDE 4.8 finally has a dock Jan 27, 2012
Generating random numbers following a given discrete probability distribution Jan 9, 2012
Quant Interview & Education Dec 21, 2011
Gnome 3 not so crap after all Nov 30, 2011
Good & Popular Algorithms are Simple Nov 17, 2011
exp(y*log(x)) Much Faster than Math.pow(x,y) Apr 8, 2011
SIMD and Mersenne-Twister Feb 5, 2011
XORWOW L'ecuyer TestU01 Results Jan 12, 2011
The CUDA Performance Myth Jan 3, 2011
Another Look at Java Matrix Libraries Nov 29, 2010
Street Fighting Mathematics Book Jul 28, 2010
double[][] Is Fine Nov 26, 2009
The Pain of Java Matrix Libraries Nov 26, 2009