contribution proposal

[Richard Wang-2]

Hi,

I have been on the list for a while, but haven't gotten a chance to contribute.  Recently I am reading a paper which uses a multilevel technique to reduce computational cost in Monte Carlo method.  I'd like to make a proposal to implement this fast Monte Carlo method to the library. 

 The method is developed by M. Giles from Oxford University recently (who is named Risk quant of the year 2007).   You can get his information from

http://web.comlab.ox.ac.uk/oucl/work/mike.giles/finance.html

The paper

M.B. Giles. `Multi-level Monte Carlo path simulation'. to appear in Operations Research, 2007/8.

 can be download from the same page.

Richard

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[Luigi Ballabio]

On Tue, 2008-01-08 at 08:32 -0800, Richard Wang wrote:
>  The method is developed by M. Giles from Oxford University recently
> (who is named Risk quant of the year 2007).   You can get his
> information from
>
> http://web.comlab.ox.ac.uk/oucl/work/mike.giles/finance.html

Thanks, I'll have a look.

Luigi


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[hps]

Has the method been already implemented in the meantime?

If not, is there would it an implementation be taken under consideration?

[Luigi Ballabio]

The method was not implemented, and yes, I'd consider the
implementation if it fits with the rest of the library.

Luigi

On Fri, Sep 13, 2013 at 3:51 AM, hps <[hidden email]> wrote:

> Has the method been already implemented in the meantime?
>
> If not, is there would it an implementation be taken under consideration?
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/contribution-proposal-tp11542p14517.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
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[ray 176]

do you know if tailor approximation is supported in the library. if it is the case can you point to it.

On Sep 19, 2013 8:26 PM, "Luigi Ballabio" <[hidden email]> wrote:

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The method was not implemented, and yes, I'd consider the
implementation if it fits with the rest of the library.

Luigi

On Fri, Sep 13, 2013 at 3:51 AM, hps <[hidden email]> wrote:
> Has the method been already implemented in the meantime?
>
> If not, is there would it an implementation be taken under consideration?
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/contribution-proposal-tp11542p14517.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> How ServiceNow helps IT people transform IT departments:
> 1. Consolidate legacy IT systems to a single system of record for IT
> 2. Standardize and globalize service processes across IT
> 3. Implement zero-touch automation to replace manual, redundant tasks
> http://pubads.g.doubleclick.net/gampad/clk?id=51271111&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev



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[Luigi Ballabio]

No, it's not available.

On Thu, Sep 19, 2013 at 3:14 PM, ray ham <[hidden email]> wrote:

do you know if tailor approximation is supported in the library. if it is the case can you point to it.

On Sep 19, 2013 8:26 PM, "Luigi Ballabio" <[hidden email]> wrote:

This message is eligible for Automatic Cleanup! ([hidden email]) Add cleanup rule | More info

The method was not implemented, and yes, I'd consider the
implementation if it fits with the rest of the library.

Luigi

On Fri, Sep 13, 2013 at 3:51 AM, hps <[hidden email]> wrote:

> Has the method been already implemented in the meantime?
>
> If not, is there would it an implementation be taken under consideration?
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/contribution-proposal-tp11542p14517.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> How ServiceNow helps IT people transform IT departments:
> 1. Consolidate legacy IT systems to a single system of record for IT
> 2. Standardize and globalize service processes across IT
> 3. Implement zero-touch automation to replace manual, redundant tasks
> http://pubads.g.doubleclick.net/gampad/clk?id=51271111&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

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