Meta Financial Functions Library
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2010/01/19 11:00 | by abiao ]
2010/01/19 11:00 | by abiao ]
Meta Financial Functions Library is a free library for option pricing written in C++, as of now, Meta Systems offers no commercial products, and the library is still under beta, as indicated by its author: "The Meta Financial Formula Library implements many commonly used functions as correctly as possible once and then provides wrapper functions and code to be able to reuse the implemenation from other tools and languages."
At the moment Meta Financial Functions Library covers a wide range of vanilla and exotic options, which can be obviously seen from the name of functions, for example, a list of functions includes black76, black76_put, black76_call, blackscholes, gbs, gcarry, AmericanExchangeOption, AssetOrNothing, BAWAmericanApprox, BSAmericanApprox, BinaryBarrier, CashOrNothing, ComplexChooser, DiscreteAdjustedBarrier, DoubleBarrier, EquityLinkedFXO, EuropeanExchangeOption, ExchangeExchangeOption, Executive, ExtendibleWriter, ExtremeSpreadOption, FixedStrikeLookback, FloatingStrikeLookback, ForEquOptInDomCur, ForwardStartOption, GapOption, GeometricAverageRateOption, JumpDiffusion, LevyAsian, LookBarrier, OptionsOnOptions, OptionsOnTheMaxMin, PartialFixedLB, PartialFloatLB, PartialTimeBarrier, PartialTimeTwoAssetBarrier, Quanto, RollGeskeWhaley, SimpleChooser, SoftBarrier, SpreadApproximation, StandardBarrier, SuperShare, SuperShare_inlined, Swapoption, TakeoverFXoption, TimeSwitchOption, TurnbullWakemanAsian, TwoAssetBarrier, TwoAssetCashOrNothing, TwoAssetCorrelation, VasicekBondPrice, VasicekBondOption...
, what a long list! you shall download the library at http://www.metasystems.no/, which is free and the author makes the source code clean and publicly available, learning from others is always enjoying.
At the moment Meta Financial Functions Library covers a wide range of vanilla and exotic options, which can be obviously seen from the name of functions, for example, a list of functions includes black76, black76_put, black76_call, blackscholes, gbs, gcarry, AmericanExchangeOption, AssetOrNothing, BAWAmericanApprox, BSAmericanApprox, BinaryBarrier, CashOrNothing, ComplexChooser, DiscreteAdjustedBarrier, DoubleBarrier, EquityLinkedFXO, EuropeanExchangeOption, ExchangeExchangeOption, Executive, ExtendibleWriter, ExtremeSpreadOption, FixedStrikeLookback, FloatingStrikeLookback, ForEquOptInDomCur, ForwardStartOption, GapOption, GeometricAverageRateOption, JumpDiffusion, LevyAsian, LookBarrier, OptionsOnOptions, OptionsOnTheMaxMin, PartialFixedLB, PartialFloatLB, PartialTimeBarrier, PartialTimeTwoAssetBarrier, Quanto, RollGeskeWhaley, SimpleChooser, SoftBarrier, SpreadApproximation, StandardBarrier, SuperShare, SuperShare_inlined, Swapoption, TakeoverFXoption, TimeSwitchOption, TurnbullWakemanAsian, TwoAssetBarrier, TwoAssetCashOrNothing, TwoAssetCorrelation, VasicekBondPrice, VasicekBondOption...
, what a long list! you shall download the library at http://www.metasystems.no/, which is free and the author makes the source code clean and publicly available, learning from others is always enjoying.Popular Culture and the Stock Market
[ 2010/01/16 09:42 | by abiao ]
2010/01/16 09:42 | by abiao ]
Long time I haven't reviewed service provided by other site, this weekend's review is about a club service by EWI, as stated by its authors: "Elliott Wave International (EWI) is the world’s largest market forecasting firm. EWI’s 20-plus analysts provide around-the-clock forecasts of every major market in the world via the internet and proprietary web systems like Reuters and Bloomberg. EWI’s educational services include conferences, workshops, webinars, video tapes, special reports, books and one of the internet’s richest free content programs, Club EWI."
Below is a video introduction and a free report to research more about its club, take a look if interested. Wall Street legend and best-selling author Robert Prechter says "You can almost hear the Dow going up and down over the airwaves." Watch this 3-minute clip from his documentary History's Hidden Engine to see how social mood governs movements in the stock market and trends in popular culture. Then access his 50-page report "Popular Culture and the Stock Market" free.
Below is a video introduction and a free report to research more about its club, take a look if interested. Wall Street legend and best-selling author Robert Prechter says "You can almost hear the Dow going up and down over the airwaves." Watch this 3-minute clip from his documentary History's Hidden Engine to see how social mood governs movements in the stock market and trends in popular culture. Then access his 50-page report "Popular Culture and the Stock Market" free.
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Friday's reading list 15/01/2010
[ 2010/01/15 19:01 | by abiao ]
2010/01/15 19:01 | by abiao ]
Two paper I find pretty interesting this week, both are published in Mathematical Finance Journal:
1, PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD, by JIN E. ZHANG and TIECHENG LI, "This paper studies the critical stock price of American options with continuous dividend yield. We solve the integral equation and derive a new analytical formula in a series form for the critical stock price. American options can be priced and hedged analytically with the help of our critical-stock-price formula. Numerical tests show that our formula gives very accurate prices. With the error well controlled, our formula is now ready for traders to use in pricing and hedging the S&P 100 index options and for the Chicago Board Options Exchange to use in computing the VXO volatility index."
2, ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES, by MARK S. JOSHI, "A new family of binomial trees as approximations to the Black–Scholes model is introduced. For this class of trees, the existence of complete asymptotic expansions for the prices of vanilla European options is demonstrated and the first three terms are explicitly computed.As special cases, a treewith third-order convergence is constructed and the conjecture of Leisen and Reimer that their tree has second-order convergence is proven." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=976561
1, PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD, by JIN E. ZHANG and TIECHENG LI, "This paper studies the critical stock price of American options with continuous dividend yield. We solve the integral equation and derive a new analytical formula in a series form for the critical stock price. American options can be priced and hedged analytically with the help of our critical-stock-price formula. Numerical tests show that our formula gives very accurate prices. With the error well controlled, our formula is now ready for traders to use in pricing and hedging the S&P 100 index options and for the Chicago Board Options Exchange to use in computing the VXO volatility index."
2, ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES, by MARK S. JOSHI, "A new family of binomial trees as approximations to the Black–Scholes model is introduced. For this class of trees, the existence of complete asymptotic expansions for the prices of vanilla European options is demonstrated and the first three terms are explicitly computed.As special cases, a treewith third-order convergence is constructed and the conjecture of Leisen and Reimer that their tree has second-order convergence is proven." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=976561
A Finite Element Differential Equations Analysis Library
[ 2010/01/15 14:22 | by abiao ]
2010/01/15 14:22 | by abiao ]
Attended a training of NAG Toolbox for MATLAB today (NAG is short for Numerical Algorithms Group), nice presentation and persuasive performance against Matlab toolbox. I will soon get a licence and start to experience myself.
Anyway, I got to know two sites after the training, first one is deal.II, which is a finite element differential equations analysis library aiming to enable rapid development of modern finite element codes, using among other aspects adaptive meshes and a wide array of tools classes often used in finite element program. As stated on its webpage: "deal.II is a C++ program library targeted at the computational solution of partial differential equations using adaptive finite elements. It uses state-of-the-art programming techniques to offer you a modern interface to the complex data structures and algorithms required." It should be very useful for those people playing often with PDE numerical solution.
The other site is Walking randomly, a blog where the author randomly collects things including mathematics, physics, vintage computing, Linux, pocket PCs, Android, music and programming. I am especially interested in its Matlab, R, NAG, and statistics categories.
Have a nice weekend.
Anyway, I got to know two sites after the training, first one is deal.II, which is a finite element differential equations analysis library aiming to enable rapid development of modern finite element codes, using among other aspects adaptive meshes and a wide array of tools classes often used in finite element program. As stated on its webpage: "deal.II is a C++ program library targeted at the computational solution of partial differential equations using adaptive finite elements. It uses state-of-the-art programming techniques to offer you a modern interface to the complex data structures and algorithms required." It should be very useful for those people playing often with PDE numerical solution.
The other site is Walking randomly, a blog where the author randomly collects things including mathematics, physics, vintage computing, Linux, pocket PCs, Android, music and programming. I am especially interested in its Matlab, R, NAG, and statistics categories.
Have a nice weekend.
Friday reading list 01/08/2010
[ 2010/01/09 01:11 | by abiao ]
2010/01/09 01:11 | by abiao ]
1, Yes, the Choice of Performance Measure Does Matter for Ranking of US Mutual Funds, "Recent literature in performance evaluation has focused on preferences and characteristics of returns’ distribution that go beyond mean and variance world. However, Eling (2008) compared the Sharpe ratio with some of these performance measures, and found virtually identical rank ordering using mutual fund data. This paper compares 13 performance measures with the traditional Sharpe Ratio using a sample of US Fixed-Income, Equity and Asset Allocation Mutual Funds. Results show that performance measures based on absolute reward-risk ratios have similar rankings, when the numerator (mean excess return) is the same. However, when we move to other types of performances measures, results may be significantly different. " http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1403916
2, The Augmented Black-Litterman Model: A Ranking-Free Approach to Factor-Based Portfolio Construction and Beyond, "The Fama and French (1992 and 1993 etc.) factor ranking approach is very popular among quantitative fund managers. However, this approach suffers from hidden factor view, loss of information, etc. issues. Based on the Black-Litterman model (Black and Litterman, 1992; as explained in Cheung, 2009A), we design a technique that endogenises the ranking process and elegantly resolves these issues. This model explicitly seeks forward-looking factor views and smoothly blends them to deliver robust allocation to securities. Our numerical experiments show this is an intuitive and practical framework for factor-based portfolio construction, and beyond." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1347648
3, Transparent Augmented Black-Litterman Allocation: Simple and Unified Framework for Strategy Combination, Factor Mimicking, Hedging, and Stock-Specific Alphas, "You have some factor, strategy, and/or stock-specific alpha ideas. Without an optimiser, some straightforward linear algebra gives you the diversified and efficient Bayesian allocation that allows greater performance accountability. All you need is just a factor risk model. How does this sound? This paper derives a transparent version of the ABL model (Cheung, 2009B) with an explicit allocation expression, including components for all the needed functionalities. In addition to further insights, it allows more tangible implementation of strategy combination, factor mimicking, hedging, and stock-specific bets in a unified framework." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1347663
4, Homogeneous Volatility Bridge Estimators, "We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, high and low prices of incomplete bridge, corresponding to given log-price stochastic process, and in its close value, for a given time interval. The efficiency of the new proposed estimators is favorably compared with that of the Garman-Klass and Parkinson estimators." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1523225
5, A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives, "We propose a general framework for efficient pricing via a Partial Differential Equation (PDE) approach of cross-currency interest rate derivatives under the Hull-White model. In particular, we focus on pricing long-dated foreign exchange (FX) interest rate hybrids, namely Power Reverse Dual Currency (PRDC) swaps with Bermudan cancelable features." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1502302
Have a nice weekend.
2, The Augmented Black-Litterman Model: A Ranking-Free Approach to Factor-Based Portfolio Construction and Beyond, "The Fama and French (1992 and 1993 etc.) factor ranking approach is very popular among quantitative fund managers. However, this approach suffers from hidden factor view, loss of information, etc. issues. Based on the Black-Litterman model (Black and Litterman, 1992; as explained in Cheung, 2009A), we design a technique that endogenises the ranking process and elegantly resolves these issues. This model explicitly seeks forward-looking factor views and smoothly blends them to deliver robust allocation to securities. Our numerical experiments show this is an intuitive and practical framework for factor-based portfolio construction, and beyond." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1347648
3, Transparent Augmented Black-Litterman Allocation: Simple and Unified Framework for Strategy Combination, Factor Mimicking, Hedging, and Stock-Specific Alphas, "You have some factor, strategy, and/or stock-specific alpha ideas. Without an optimiser, some straightforward linear algebra gives you the diversified and efficient Bayesian allocation that allows greater performance accountability. All you need is just a factor risk model. How does this sound? This paper derives a transparent version of the ABL model (Cheung, 2009B) with an explicit allocation expression, including components for all the needed functionalities. In addition to further insights, it allows more tangible implementation of strategy combination, factor mimicking, hedging, and stock-specific bets in a unified framework." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1347663
4, Homogeneous Volatility Bridge Estimators, "We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, high and low prices of incomplete bridge, corresponding to given log-price stochastic process, and in its close value, for a given time interval. The efficiency of the new proposed estimators is favorably compared with that of the Garman-Klass and Parkinson estimators." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1523225
5, A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives, "We propose a general framework for efficient pricing via a Partial Differential Equation (PDE) approach of cross-currency interest rate derivatives under the Hull-White model. In particular, we focus on pricing long-dated foreign exchange (FX) interest rate hybrids, namely Power Reverse Dual Currency (PRDC) swaps with Bermudan cancelable features." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1502302
Have a nice weekend.
