MSc Konstantin Ermakov

MCMC resource - http://www.statslab.cam.ac.uk/~mcmc/

Free C/C++ Matlab Code for Derivative Pricing

Differential Evolution

On-Line Calculator for the Heston Model

Kenichiro Shiraya, Akihiko Takahashi - Pricing Average Options on Commodities

Edie Miglio, Carlo Sgarra – A Finite Element Framework for Option Pricing with the Bates Model

Important article

Fiodar Kilin – Accelerating the Calibration of Stochastic Volatility Models

Stolen, http://govnokod.ru/2020

function IsTrue(Value: boolean): boolean;
begin
 if Value <> true then result := false
 else if Value <> false then result := true
 else // attention!
   result := (not true) and (not false);
end;

A nice collection of quant. finance articles

In my master thesis I described the application of classical Monte Carlo methods for the Heston Model. For the implementation one usually requires a very good Random Numbers Generator. Read the rest of this entry »

Hurgada 2005

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