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Transform of the Andreasen Huge SABR PDE & Spline Interpolation", "url": "https://chasethedevil.github.io/post/coordinate-transform-of-the-andreasen-huge-sabr-pde--spline-interpolation/", "published_at": "2014-01-08T18:51:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b96ca3fde2", "title": "Random Hardware Issues", "url": "https://chasethedevil.github.io/post/random-hardware-issues/", "published_at": "2014-01-06T18:44:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b96d321eb9", "title": "Levenberg Marquardt & Constraints by Domain Transformation", "url": "https://chasethedevil.github.io/post/levenberg-marquardt--constraints-by-domain-transformation/", "published_at": "2013-12-17T15:27:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b96d4bb2b1", "title": "Arbitrage Free SABR - Another View on Hagan Approach", "url": "https://chasethedevil.github.io/post/arbitrage-free-sabr---another-view-on-hagan-approach/", "published_at": "2013-12-14T00:56:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b96d6af008", "title": "American Option on Forward/Futures", "url": "https://chasethedevil.github.io/post/american-option-on-forwardfutures/", "published_at": "2013-11-21T11:17:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b96dfc4f6d", "title": "Spikes in Heston/Schobel-Zhu Local Volatility", "url": "https://chasethedevil.github.io/post/spikes-in-hestonschobel-zhu-local-volatility/", "published_at": "2013-11-20T13:33:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b96e4717b0", "title": "Local Stochastic Volatility with Monte-Carlo", "url": "https://chasethedevil.github.io/post/local-stochastic-volatility-with-monte-carlo/", "published_at": "2013-10-16T16:14:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b96e720b0d", "title": "Heston, Schobel-Zhu, Bates, Double-Heston Fit", "url": "https://chasethedevil.github.io/post/heston-schobel-zhu-bates-double-heston-fit/", "published_at": "2013-10-07T19:35:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b96e80eee5", "title": "Second Cumulant of Heston", "url": "https://chasethedevil.github.io/post/second-cumulant-of-heston/", "published_at": "2013-10-03T17:27:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b96eb17cfd", "title": "Maxima for Symbolic Calculus", "url": "https://chasethedevil.github.io/post/maxima-for-symbolic-calculus/", "published_at": "2013-10-02T15:06:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b96f3d06aa", "title": "Martin Odersky teaches Scala to the Masses", "url": "https://chasethedevil.github.io/post/martin-odersky-teaches-scala-to-the-masses/", "published_at": "2013-09-17T20:11:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b96f63beed", "title": "Setting Values in Java Enum - A Bad Idea", "url": "https://chasethedevil.github.io/post/setting-values-in-java-enum---a-bad-idea/", "published_at": "2013-09-12T10:06:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b96f8d00d1", "title": "Making Classic Heston Integration Faster than the Cos Method", "url": "https://chasethedevil.github.io/post/making-classic-heston-integration-faster-than-the-cos-method/", "published_at": "2013-09-05T17:35:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b9704094f3", "title": "Better Fonts in Fedora than in Ubuntu", "url": "https://chasethedevil.github.io/post/better-fonts-in-fedora-than-in-ubuntu/", "published_at": "2013-08-31T13:36:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b970430af2", "title": "Attari, Lord-Kahl & Cos Methods Comparison on Heston", "url": "https://chasethedevil.github.io/post/attari-lord-kahl--cos-methods-comparison-on-heston/", "published_at": "2013-08-28T17:54:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b9709efd6f", "title": "Giving Fedora Another Chance", "url": "https://chasethedevil.github.io/post/giving-fedora-another-chance/", "published_at": "2013-08-14T22:15:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b971704897", "title": "Julia and the Cumulative Normal Distribution", "url": "https://chasethedevil.github.io/post/julia-and-the-cumulative-normal-distribution/", "published_at": "2013-08-13T15:52:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b9718af479", "title": "The COS method for Heston", "url": "https://chasethedevil.github.io/post/the-cos-method-for-heston/", "published_at": "2013-08-02T14:19:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b972721bd0", "title": "Octave vs Scilab for PDEs in Finance", "url": "https://chasethedevil.github.io/post/octave-vs-scilab-for-pdes-in-finance/", "published_at": "2013-07-30T12:10:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b972b58429", "title": "Joda LocalDateTime vs DateTime", "url": "https://chasethedevil.github.io/post/joda-localdatetime-vs-datetime/", "published_at": "2013-07-17T14:11:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b97363c61a", "title": "The CUDA Performance Myth II", "url": "https://chasethedevil.github.io/post/the-cuda-performance-myth-ii/", "published_at": "2013-07-12T15:23:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b97419d10b", "title": "Unity vs KDE in Virtualbox", "url": "https://chasethedevil.github.io/post/unity-vs-kde-in-virtualbox/", "published_at": "2013-07-10T23:17:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b974ae92ab", "title": "Bessel and Harmonic Kinks in the Forward", "url": "https://chasethedevil.github.io/post/bessel-and-harmonic-kinks-in-the-forward/", "published_at": "2013-07-02T15:44:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b97556fd1d", "title": "Godaddy sold my domain name", "url": "https://chasethedevil.github.io/post/godaddy-sold-my-domain-name/", "published_at": "2013-06-24T19:11:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b975d81c42", "title": "Scala Build Tool : SBT", "url": "https://chasethedevil.github.io/post/scala-build-tool--sbt/", "published_at": "2013-06-19T18:01:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b975fe4167", "title": "The Finite Difference Theta Scheme Optimal Theta", "url": "https://chasethedevil.github.io/post/the-finite-difference-theta-scheme-optimal-theta/", "published_at": "2013-06-18T15:02:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b9764cea8a", "title": "Simple 'Can Scala Do This?' Questions", "url": "https://chasethedevil.github.io/post/simple-can-scala-do-this-questions/", "published_at": "2013-06-11T00:28:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b977084ce2", "title": "Akima for Yield Curve Interpolation ?", "url": "https://chasethedevil.github.io/post/akima-for-yield-curve-interpolation-/", "published_at": "2013-06-03T00:07:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b977e2d62c", "title": "2 Ways for an Accurate Barrier with Finite Difference", "url": "https://chasethedevil.github.io/post/2-ways-for-an-accurate-barrier-with-finite-difference/", "published_at": "2013-06-02T00:46:00+00:00" }, { "id": "01a0875e-6223-705b-bfb4-a5b97851e1cd", "title": "SABR with the new Hagan PDE Approach", "url": "https://chasethedevil.github.io/post/sabr-with-the-new-hagan-pde-approach/", "published_at": "2013-05-28T15:56:00+00:00" } ] posts Claim your blog

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2016

Adaptive Filon quadrature for stochastic volatility models original ↗

12 May 2016

Least Squares Rational Function original ↗

21 Apr 2016

Least Squares Spline for Volatility Interpolation original ↗

19 Feb 2016

The Mystic Parabola original ↗

16 Feb 2016

Yahoo Finance Implied Volatility original ↗

3 Feb 2016

Is Tufte overrated?original ↗

3 Feb 2016

Linear and Flat forward interpolation with cash dividends original ↗

19 Jan 2016

2015

Moved to hugo original ↗

20 Dec 2015

Controlling the SABR wings with Hagan PDE original ↗

15 Dec 2015

Broken Internet?original ↗

9 Nov 2015

Holiday's read - DFW - Everything and more original ↗

1 Nov 2015

Crank-Nicolson and Rannacher Issues with Touch options original ↗

30 Sept 2015

Clouds original ↗

2 Sept 2015

Go for Monte-Carlo original ↗

22 Aug 2015

Bumping Correlations original ↗

25 Jul 2015

Andreasen Huge extrapolation original ↗

13 Jul 2015

Unintuitive behavior of the Black-Scholes formula - negative volatilities in displaced diffusion extrapolation original ↗

7 Jul 2015

Linux Desktops in 2015 original ↗

24 Jun 2015

Square Root Crank-Nicolson original ↗

19 Jun 2015

Decoding Hagan's arbitrage free SABR PDE derivation original ↗

8 May 2015

Matching Hagan PDE SABR with the one-step Andreasen-Huge SABR original ↗

30 Apr 2015

Modern Programming Language for Monte-Carlo original ↗

18 Apr 2015

Volatility Swap vs Variance Swap Replication - Truncation original ↗

16 Mar 2015

Arbitrage free SABR with negative rates - alternative to shifted SABR original ↗

11 Mar 2015

Variance swaps on a foreign asset original ↗

24 Feb 2015

Jumps impact: Variance swap vs volatility swap original ↗

20 Feb 2015

Variance Swap Replication : Discrete or Continuous?original ↗

19 Feb 2015

GTK 3.0 / Gnome 3.0 annoyance original ↗

8 Feb 2015

Monte Carlo & Inverse Cumulative Normal Distribution original ↗

3 Feb 2015

Local Stochastic Volatility - Particles and Bins original ↗

30 Jan 2015

2014

Flat Volatility Surfaces & Discrete Dividends original ↗

25 Nov 2014

Machine Learning & Quantitative Finance original ↗

18 Nov 2014

Pseudo-Random vs Quasi-Random Numbers original ↗

12 Nov 2014

Integrating an oscillatory function original ↗

5 Nov 2014

The elusive reference: the Lamperti transform original ↗

3 Nov 2014

Barrier options under negative rates: complex numbers to the rescue original ↗

2 Oct 2014

Initial Guesses for SVI - A Summary original ↗

26 Sept 2014

Asymptotic Behavior of SVI vs SABR original ↗

23 Sept 2014

SVI and long maturities issues original ↗

1 Aug 2014

More SVI Initial Guesses original ↗

31 Jul 2014

Another SVI Initial Guess original ↗

29 Jul 2014

New SABR Formulae original ↗

16 Jul 2014

Heston or Schobel-Zhu issues with short expiries original ↗

3 Jul 2014

On the Role of Static Types and Generic Types on Productivity original ↗

29 Jun 2014

Moore-Penrose Inverse & Gauss-Newton SABR Minimization original ↗

24 Jun 2014

One Interview Question for Job Seekers in Finance original ↗

19 Jun 2014

On the importance of accuracy for bpvol solvers original ↗

12 Jun 2014

throws Exception original ↗

27 May 2014

KDE, XFCE, Gnome-Shell in 2014 original ↗

25 May 2014

Two SABR for the same smile original ↗

20 May 2014

Heston vs SABR slice by slice fit original ↗

15 May 2014

Quadratic Spline with Knots at Mid-Points original ↗

14 May 2014

On Interviewing Candidates for a Job original ↗

23 Apr 2014

Non-linear Option Pricing original ↗

18 Apr 2014

5 Minutes of Xtend original ↗

8 Apr 2014

Building a more accurate basis point volatility formula original ↗

5 Apr 2014

Fast and Accurate Implied Volatility Solver original ↗

19 Mar 2014

Arbitrage Free Interpolation of Option Prices using Piecewise Constant Density original ↗

17 Mar 2014

C2 Arbitrage Free Interpolation with Tension Splines original ↗

11 Mar 2014

Bachelier and Black-Scholes Fits of the Volatility Surface, what about SABR?original ↗

7 Mar 2014

Arbitrage Free Wiggles original ↗

3 Mar 2014

Adjoint Delta for Monte-Carlo original ↗

25 Feb 2014

SVI on top of SABR original ↗

20 Feb 2014

Smart Initial Guess for Schobel-Zhu original ↗

19 Feb 2014

A Look at Small Time Expansions for Heston original ↗

12 Feb 2014

A Small-Time Schobel-Zhu Expansion original ↗

10 Feb 2014

An SSD instead of a laptop original ↗

4 Feb 2014

Brownian Bridge or Not with Heston Quadratic Exponential QMC original ↗

24 Jan 2014

Adjoint Algorithmic Differentiation for Black-Scholes original ↗

21 Jan 2014

Placing the Strike on the Grid and Payoff Smoothing in Finite Difference Methods for Vanilla Options original ↗

12 Jan 2014

Coordinate Transform of the Andreasen Huge SABR PDE & Spline Interpolation original ↗

8 Jan 2014

Random Hardware Issues original ↗

6 Jan 2014

2013

Levenberg Marquardt & Constraints by Domain Transformation original ↗

17 Dec 2013

Arbitrage Free SABR - Another View on Hagan Approach original ↗

14 Dec 2013

American Option on Forward/Futures original ↗

21 Nov 2013

Spikes in Heston/Schobel-Zhu Local Volatility original ↗

20 Nov 2013

Local Stochastic Volatility with Monte-Carlo original ↗

16 Oct 2013

Heston, Schobel-Zhu, Bates, Double-Heston Fit original ↗

7 Oct 2013

Second Cumulant of Heston original ↗

3 Oct 2013

Maxima for Symbolic Calculus original ↗

2 Oct 2013

Martin Odersky teaches Scala to the Masses original ↗

17 Sept 2013

Setting Values in Java Enum - A Bad Idea original ↗

12 Sept 2013

Making Classic Heston Integration Faster than the Cos Method original ↗

5 Sept 2013

Better Fonts in Fedora than in Ubuntu original ↗

31 Aug 2013

Attari, Lord-Kahl & Cos Methods Comparison on Heston original ↗

28 Aug 2013

Giving Fedora Another Chance original ↗

14 Aug 2013

Julia and the Cumulative Normal Distribution original ↗

13 Aug 2013

The COS method for Heston original ↗

2 Aug 2013

Octave vs Scilab for PDEs in Finance original ↗

30 Jul 2013

Joda LocalDateTime vs DateTime original ↗

17 Jul 2013

The CUDA Performance Myth II original ↗

12 Jul 2013

Unity vs KDE in Virtualbox original ↗

10 Jul 2013

Bessel and Harmonic Kinks in the Forward original ↗

2 Jul 2013

Godaddy sold my domain name original ↗

24 Jun 2013

Scala Build Tool : SBT original ↗

19 Jun 2013

The Finite Difference Theta Scheme Optimal Theta original ↗

18 Jun 2013

Simple 'Can Scala Do This?' Questions original ↗

11 Jun 2013

Akima for Yield Curve Interpolation ?original ↗

3 Jun 2013

2 Ways for an Accurate Barrier with Finite Difference original ↗

2 Jun 2013

SABR with the new Hagan PDE Approach original ↗

28 May 2013