Monthly Archives: May 2011

Link to the Post — Capital Protected Products

AutoCallable Pricer It is not very accurate coz I can’t increase the grid size too much, as i don’t own a _SUPERCOMPUTER_. So this has prompted me to develop some pricing framework in R package. This is just for testing … Continue reading →

Link to the Post — Volatility Calibration

Link to the Post — Volatility Calibration

I agree this was a quants blog, and this article will quadtriple the number of people who hate me. Even my closest friends won’t agree with me, and most will think of ways to trash it. With those credits out … Continue reading →

http://www.quantanalysis.in/papers Main Website http://www.quantanalysis.in It contains pricing tools in Grid Framework. It has a stochastic volatility pricer where you can choose the model parameters. Unlike other sites which generally use ‘Haug’ coded formulas, I have created some pricers using Finite … Continue reading →