-
Hello
Firstly thanks so much for all your notebooks they are really helpful and insightful. Credit to you for all the effort.
However I noticed something in notebook 1.4
When you are generati…
-
https://github.com/ronniec95/black_scholes/blob/92b4f0a7543e5802c2645c7e2c19f1154815e892/src/bs_f32x8_.rs#L762
I'm not smart enough to understand if the math for `maturity` between this library and…
-
After many failed struggles for calibrating a Heston model to real market data , I found the main reason causes the large absolute error percent is the "wrong" determination of option type in HestonMo…
-
Hi all,
I was going through the testing of localvolsurface and arrived at the "decreasing variance at strike" error. I have two comments here:
1. During the time derivative calculation we do:
`…
qiqvo updated
2 years ago
-
ghost updated
3 years ago
-
dt is missing in the second equation. Appreciate a PR fixing this!
ghost updated
3 years ago
-
The current implementation of the Heston process can make price time series including non-positive prices because of the discrete approximation.
https://github.com/pfnet-research/pfhedge/blob/main/…
-
Hello!
First of all, fantastic work!! This framework is amazing and I've managed to implement some basic SDE's and solve them. My current goal is to go through some of the canonical SDEs used in Fi…
-
[jw@cn06 tf-quant-finance]$ ./bazel-bin/build_pip_pkg artifacts
++ uname -s
++ tr A-Z a-z
+ PLATFORM=linux
+ PIP_FILE_PREFIX=bazel-bin/build_pip_pkg.runfiles/tf_quant_finance/
+ main artifacts
+…
-
Here are some screenshots of parameters and the corresponding impossible gamma and vega (very negative) values which makes me question the rest of the greeks as well. I'm attaching the full scheme use…