Stochastic Volatility

[animesh]

No FD method solution in the case of a generic partial differential
equation like (Stochastic Vol Model)

for {d sigma = p dt + q dX}, p = (a – b sigma^2)

Do read the pdf for bit more understanding. It's just a single page!

I am not sure if this is implemented in quantlib, or maybe I don't know
how to use it.

Thanks for ur time

Animesh Saxena

Associate

(Exotic Derivatives)

Blog -> http://quantanalysis.wordpress.com



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[deepak sharma-4]

Hi Animesh,

You have sent so many messages in short duration of time, for this kind of
questions use developer's mailing list, and as far as documentation is
concerned, it's being created, Quantlib needs contributors for documentation
also.....

You can add me in gtalk: [hidden email]


cheers,
Deepak Sharma
 
 

-----Original Message-----
From: animesh saxena [mailto:[hidden email]]
Sent: Tuesday, July 06, 2010 1:13 AM
To: [hidden email]
Subject: [Quantlib-users] Stochastic Volatility


No FD method solution in the case of a generic partial differential
equation like (Stochastic Vol Model)

for {d sigma = p dt + q dX}, p = (a - b sigma^2)

Do read the pdf for bit more understanding. It's just a single page!

I am not sure if this is implemented in quantlib, or maybe I don't know
how to use it.

Thanks for ur time

Animesh Saxena

Associate

(Exotic Derivatives)

Blog -> http://quantanalysis.wordpress.com






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[Luigi Ballabio]

On Tue, 2010-07-06 at 10:05 +0530, Deepak wrote:
> You have sent so many messages in short duration of time, for this kind of
> questions use developer's mailing list

No, that's ok.  There's no limit to the messages one can send :)
Unfortunately, there's a limit to the answers we can give (real jobs and
all that.)  Ideally we try to answer in a few days, but that's not
always the case.

Luigi


--

Every solution breeds new problems.
-- unknown



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[animesh]

Not a problem. I just send a mail if I get stuck on a problem. If i find
the solution I will reply back too. So it might help someone else who
came across it.

Thanks,

Animesh

(Associate)

Exotic Derivatives

Blog -> http://quantanalysis.wordpress.com/


Luigi Ballabio wrote:

> On Tue, 2010-07-06 at 10:05 +0530, Deepak wrote:
>  
>> You have sent so many messages in short duration of time, for this kind of
>> questions use developer's mailing list
>>    
>
> No, that's ok.  There's no limit to the messages one can send :)
> Unfortunately, there's a limit to the answers we can give (real jobs and
> all that.)  Ideally we try to answer in a few days, but that's not
> always the case.
>
> Luigi
>
>
>  

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