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Optimally Transported Schemes

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jean-marc mercier

Optimally Transported Schemes

Luigi,

Hello. I am opening a new thread, since the last is a little bit messy now.
I will add some content today to the Wiki page of the OTS project (http://code.google.com/p/optimally-transported-schemes/ ) to explain its structure. I will also give a snapshot of the Stochastic applications that may interest Quantilb. This should clarify a little bit.

Cheers

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jean-marc mercier

Re: Optimally Transported Schemes

Luigi,

Hi Again. The projects that may interest quantlib are described shortly at this URL

http://code.google.com/p/optimally-transported-schemes/wiki/ListOfProjects

Browse then to Financial Applications.

Hope this is a little bit more clear.

Cheers,

Jean-Marc

2009/1/22 jean-marc mercier <[hidden email]>

Luigi,

Hello. I am opening a new thread, since the last is a little bit messy now.
I will add some content today to the Wiki page of the OTS project (http://code.google.com/p/optimally-transported-schemes/ ) to explain its structure. I will also give a snapshot of the Stochastic applications that may interest Quantilb. This should clarify a little bit.

Cheers

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Luigi Ballabio

Re: Optimally Transported Schemes

On Jan 22, 2009, at 3:17 PM, jean-marc mercier wrote:
> Hi Again. The projects that may interest quantlib are described
> shortly at this URL
>
> http://code.google.com/p/optimally-transported-schemes/wiki/ListOfProjects
>
> Browse then to Financial Applications.

Thanks, I'll look into it. Is there any degree of integration with
QuantLib already (for instance, are you using any QuantLib class
already) or is it all new code?

Luigi

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jean-marc mercier

Re: Optimally Transported Schemes

You're welcome.
There is a Quantlib project inside, dedicated to Quantlib integration (I benchmarked the Quantlib FD American Pricer against the OTS).
However it should not compile anymore, as the code changed a bit since I opened it some four months ago.

2009/1/24 Luigi Ballabio <[hidden email]>

On Jan 22, 2009, at 3:17 PM, jean-marc mercier wrote:

Hi Again. The projects that may interest quantlib are described shortly at this URL

http://code.google.com/p/optimally-transported-schemes/wiki/ListOfProjects

Browse then to Financial Applications.

Thanks, I'll look into it. Is there any degree of integration with QuantLib already (for instance, are you using any QuantLib class already) or is it all new code?

Luigi

jean-marc mercier

Re: Optimally Transported Schemes

I forgot : there is also an "Heston" project that includes Quantlib (I use Quantlib here for Benchmark purposes here). However this project is a research one, not mature enough to be integrated at present time.

2009/1/25 jean-marc mercier <[hidden email]>

You're welcome.
There is a Quantlib project inside, dedicated to Quantlib integration (I benchmarked the Quantlib FD American Pricer against the OTS).
However it should not compile anymore, as the code changed a bit since I opened it some four months ago.

2009/1/24 Luigi Ballabio <[hidden email]>

On Jan 22, 2009, at 3:17 PM, jean-marc mercier wrote:

Hi Again. The projects that may interest quantlib are described shortly at this URL

http://code.google.com/p/optimally-transported-schemes/wiki/ListOfProjects

Browse then to Financial Applications.

Thanks, I'll look into it. Is there any degree of integration with QuantLib already (for instance, are you using any QuantLib class already) or is it all new code?

Luigi