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jherekhealy / AQFED.jl

Julia package for the book "Applied Quantitative Finance for Equity Derivatives"
MIT License
30 stars 12 forks source link

An example for stochastic collocation? #2

Closed Stochastic-Adventure closed 2 years ago

Stochastic-Adventure commented 2 years ago

I read the 2nd Ed. of your book and am curious if a stochastic collocation fitting example could be shown here.

Thanks!

jherekhealy commented 2 years ago

There is example code in Matlab in the paper from Le Floc'h and Oosterlee. But I am almost finished with porting my own implementation to Julia (for the polynomial case).

Stochastic-Adventure commented 2 years ago

Thanks! After reading your book I'm sold on Julia and currently learning the language.

Looking forward to your implementation in this repo. But in the meantime, I'll try to find the Matlab code.

jherekhealy commented 2 years ago

I updated the github repo with some examples of stochastic collocation.

Best, J.

‐‐‐‐‐‐‐ Original Message ‐‐‐‐‐‐‐ On Wednesday, July 21st, 2021 at 7:55 PM, Stochastic-Adventure @.***> wrote:

Thanks! After reading your book I'm sold on Julia and currently learning the language.

Looking forward to your implementation in this repo. But in the meantime, I'll try to find the Matlab code.

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