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Earliest one-factor short-rate models: -- Black (1976) and Rendleman and Bartter (1980) - with lognormally distributed short rate dr = mu.rdt + sig.rdW However, assumption of lognormality was immediately critisized as not able to capture mean-reverting property of interest rates. -- Vasicek (1977) - short rate following a normal mean-reverting process with constant parameters dr = theta.(a - r)d..

xotic Options / Peter G. Zhang The credit risk of complex derivatives / Erik Banks The exchange rate in a behavioral finace framework / Paul De Grauwe & Marianna Grimaldi Fixed income mathmatics / Robert Zipf Stochastic implied volatility / Reinhold Hafner Term structure modeling and estimation in a state space framework / Wolfgang Lemke Valuing fixed income futuers / David Boberski Computationa..

C++ Random Numbers #1 Nov 16th, 2003 Intro This tutorial provides a brief introduction to the random number functions that come as part of the C++ standard library, namely rand() and srand(). rand() and RAND_MAX The C++ standard library includes a pseudo random number generator for generating random numbers. In order to use it we need to include the header. To generate a random number we use the..

#include #include #include #include using namespace std; void print_1dim_array(double* arr, int n); void print_matrix(double** matrix, int n); int main() { int n=3; // set dynamic 2-dim array double** A; A = new double*[n]; for(int i=0;i

◆ Financial Engineering 추천 주제 ◆ 주제 토픽 American and Russian Options American options under stochastic volatility and stochastic interest ra Pricing and Sensitivity computations of American options in jump type market models The Pricing of Callable Russian Options Asset Allocation and Hedging Dynamic Asset Allocation: a Portfolio Decomposition Formula and Applications Quadratic Hedging Methods for..

디자인 멋지다.. 나중에 시간되면 만들어 봐야겠다 ㅋㅋ

Speed up code and stop screen flickering: Sub NoScreenRePainting() Application.ScreenUpdating=False 'Your code here. Application.ScreenUpdating=True End Sub Preventing calculation while executing code: Sub NoCalculations() Application.Calculation = xlCalculationManual 'Your code here. Application.Calculation = xlCalculationAutomatic End Sub Speeding up code if you have Worksheet or Workbook Even..

1. 멀티 코어를 사용하는 빌드 /MP 또는 /MP? 옵션으로 멀티 프로세서 사용시 두개 이상의 코어를 모두 사용해서 빌드를 해 준다. 설정법은 프로젝트의 Properties - C/C++ - Command Line - Additional options에 /MP 또는 /MP?를 추가해 준다. (?는 코어의 개수) 추가로 Properties - C/C++ - Code Generation - Enable Minimal Rebuild 항목(/Gm) 을 No로 설정해 주어야 한다. 두 옵션이 서로 충돌한다나.... 프로젝트 파일 항목: MinimalRebuild 이걸 사용하면 빌드하는 동안 CPU 점유율이 100%에 육박하는 흐뭇한(?) 광경을 볼 수 있다. ㅋㅋ VS2005에서는 50%를 빌빌 대던 넘이.....