ZeroBeta
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| Total Posts: 84 |
| Joined: Oct 2006 |
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Give me a model on Friday, I give you code on Monday. Gratis.
C++/Java/maybe VB. 4+ yrs server side exp. Sorry, no Excel.
sphinxmachina,hotpop.com
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mj
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| Total Posts: 917 |
| Joined: Jun 2004 |
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ok give me code for the Kawai approximation to swaption prices in the LMM by Monday
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FDAXHunter
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| Founding Member |
| Total Posts: 7526 |
| Joined: Mar 2004 |
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| He said give me a model, not drop some names. |
On tue un homme, on est un assassin. On en tue des millions, on est un conquérant. On les tue tous, on est Dieu. |
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Here is the model proposed by mj.
Attached File: KawaiSwaptionExpansion.pdf |
I am the dark one, -the widower; -the unconsoled,
The prince of Aquitaine at his stricken tower:
My sole star is dead, -and my constellated lute
Bears the black sun of the melancolia.
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Bachelier
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| Transparent Doppelgänger |
| Total Posts: 665 |
| Joined: Dec 2005 |
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IAmEric
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| Phorgy PhynanceBanned |
| Total Posts: 2961 |
| Joined: Oct 2004 |
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I like it 
I'm guessing you are an aspiring quant who is slightly frustrated with the job hunting process (I've been there, believe me). mj and Bachelier have given you a challenge. I say take it seriously, crank out something, and if you supply some numerical results here before Monday, you might impress the right people who can help you.
In the meantime, I plan to sit back and enjoy the show  |
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FDAXHunter
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| Founding Member |
| Total Posts: 7526 |
| Joined: Mar 2004 |
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Hats off, ZeroBeta.
This is a lot more initiative than most people ever show. I'd give you a model, but I don't really have anything that I need and I don't want to waste your time with something that I know I'm not "really" interested in. |
On tue un homme, on est un assassin. On en tue des millions, on est un conquérant. On les tue tous, on est Dieu. |
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omd
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| Total Posts: 258 |
| Joined: Apr 2005 |
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| Probably not fair to ask him to code something up that requires Bloomberg if he does not have it. That said, I too will watch to see if anything comes of the challenges posed here. |
yo |
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That is can-do attitude at its best! Do you have a CV? |
Inflatable trader |
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AVt
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| Total Posts: 714 |
| Joined: Jun 2004 |
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| I would vote for Zhu ... but also mj and his new binomial would be nice ... or hm, some Heston or VG? |
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Bachelier
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| Transparent Doppelgänger |
| Total Posts: 665 |
| Joined: Dec 2005 |
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Just so I'm clear....I appreciate the challenge of the Zhu paper, and if ZeroBeta tackled it, I'd be impressed, but I'd also be about the worst person in the world to judge both the clarity and efficiency of the code and the model itself, since after about page two I'm totally clueless on what Zhu is cranking on about.
So ZeroBeta, if you tackle it, send it to FDAX and AVT, not me. About all I could qualify would be "he picked nice colors on the interface." |
Okay, if I can turn a sphere inside out with smooth isotopy, how come I can't turn the torus that is myself inside out to see why my stomach hurts? |
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FDAXHunter
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| Total Posts: 7526 |
| Joined: Mar 2004 |
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| Well, if nothing else comes of it, because people apparently, for all their talk, can't provide you with a realistic model to code up, at least you can send your CV to NeroTulip (he's a good guy actually, I'd pick him up on that if I were you). |
On tue un homme, on est un assassin. On en tue des millions, on est un conquérant. On les tue tous, on est Dieu. |
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Maybe you could code up the FFT pricing model from
Attached File: CarrFFT.pdf
and
Attached File: BorakFFT.pdf
I did the implementation of the first one in Matlab (VG process). And if you could do animplementation in C++ flexible, in order to input different characteristic functions (different models as described in Borak) as well as other payoffs, it would be very interesting.
Good luck if you pick this one (I think it's very realistic, and of great interest at least for me)
EDIT: what do you think about working in Madrid?? |
I am the dark one, -the widower; -the unconsoled,
The prince of Aquitaine at his stricken tower:
My sole star is dead, -and my constellated lute
Bears the black sun of the melancolia.
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Cheng
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| Total Posts: 1797 |
| Joined: Feb 2005 |
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ZeroBeta,
if you are really serious about coding up a model I have something for you. It will take you more than a weekend probably but if you could come up with a working implementation I would be really indebted.
What I am thinking about is the credit barrier model form Albanese (the 2005 version, there is also a later paper). Let me look up the paper, I will post it later here. A C++ implementation would be fine.
Feel free to drop me a mail if you have any further questions or need any assistance. |
"We walk this earth / with fire in our hands / eye for an eye / we are Nemesis" |
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IAmEric
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| Phorgy PhynanceBanned |
| Total Posts: 2961 |
| Joined: Oct 2004 |
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Regardless of whether ZeroBeta flakes or not, I love this thread. I wish I would have thought of it back when I was looking for a job. This was the best I came up with.
For any other people trying to make a break into phynance, I suggest you consider trying to rise to the challenge of some of these suggestions.
By the way, I could use a nice pricing model for hybrid capital  |
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By the way, I could use a nice pricing model for hybrid capital 
Do you need the model or the implementation?
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We are awakened with the axe, night of the living dead at last |
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IAmEric
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| Phorgy PhynanceBanned |
| Total Posts: 2961 |
| Joined: Oct 2004 |
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Do you need the model or the implementation?
Hmm... both would be ideal, but I'd take what I could get. |
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saffron
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| Total Posts: 176 |
| Joined: May 2006 |
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Hi,
I've also been following this thread because I thought it might be a good excersize. But, alas, the requests are mainly for pricing models. I was kind of hopping for someone to suggest a tool related to high freq trading / stat arb, perhaps something related to signal processing / information theory (anything ala elec. eng.). Something interesting :)
Doesn't have to be something of practical interest. Something of didactive value is good enough (the money value of my time now is zero so I won't be wasting it). Hopefuly there are standalone tools that won't reveal the proprietary bigger picture.
I hope this isn't a dumb request.
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ZeroBeta
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| Total Posts: 84 |
| Joined: Oct 2006 |
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Thanks mj, FDAX, eldesichado, Bachelier, Eric, Nero, omd, Avt, Cheng, and rowdyroddy for your inputs.
Eldesichado, I have gone over the kawai expansion and the FFT papers, both are interesting and might I say, doable. The Borak one has potential to build out a lot of stuf on top of, and might be easier of the two to test, so I'll go with that. Messaging you privately.
Cheng, likewise.
Bachelier, Zhu might have to wait, and sorry but I dont have access to Bloomberg at home and this is a strictly off hours project. Nero, Eric, all I wanted was to write a little code :) Thanks, though.
Thats what I call a high yield message thread. I encourage other recent inductees to the faith to pick up on the requests, and maybe we could even collaborate on the impls.
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What is your language of choice?
reason being i am interested in getting my hands dirty at the moment |
Fate is what you call it when you don't know the name of the person screwing you over |
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Kutilya
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| Quote Machine |
| Total Posts: 1200 |
| Joined: Jun 2004 |
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ZeroBeta that is a very positive attitide you have...you'll get hired soon.
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Just a tad behind the curve.
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| I sent you a mail ZeroBeta. |
I am the dark one, -the widower; -the unconsoled,
The prince of Aquitaine at his stricken tower:
My sole star is dead, -and my constellated lute
Bears the black sun of the melancolia.
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Cheng
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| Total Posts: 1797 |
| Joined: Feb 2005 |
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ZeroBeta,
I attached the paper I was talking about, Discrete Credit Barrier Models by Albanese and Chen. There is also another one by the same authors, Credit Barrier Models in a Discrete Setting, which is older, but might facilitate understanding. This stuff is not as self-contained as the authors suggest  .
Attached File: AlbaneseChen_DiscreteCreditBarrierModels.zip
Attached File: AlbaneseChen_CreditBarrierModelsInADiscreteFramework.zip
You will need some data for implementing and testing the model. I can send you something on Monday when I am back in the office.
Regards |
"We walk this earth / with fire in our hands / eye for an eye / we are Nemesis" |
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asd
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| Total Posts: 458 |
| Joined: May 2004 |
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twobags
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| Total Posts: 52 |
| Joined: Feb 2006 |
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eldesichado,
I coded up the Carr Madan FFT method in C++. I have implemented so far Call prices for VG, Heston and Heston with jumps models. The code is quite general and it should be possible to add the Levy model of your choice quite easily, see the Readme file for a too short explanation of the code. A very simple excel to test the thing, should be straightforward to understand how it works if you look at the VB code
I tested it on the three prices in Carr's paper and generally it looks reasonable for Heston and Heston Jumps in special cases (flat vol), but I haven't tested it thoroughly enough.. If someone has another heston pricer ready, exact testing would be appreciated.
I have basically wanted to do that for a long time and this was some motivation... Sorry if I pushed ahead of the queue, zerobeta, but I think it's useful to have your own code anyway...
I might be interested in looking at the Albanese credit barrier thing as well, but have to read the paper first to see how quick that is going to be..
We could start a nuclear phynance model repository or something.. 
Attached File: fourier.zip |
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