10 2013 档案

摘要：波动率模型主要有以下三类- Local volatility, where the forward/spot price of the underlying solves the SDE dF = sigma(F)F dW for a (deter-ministic) function sigma. A special model is the CEV model with sigma(F) = sigma_beta * F^(beta-1). Problems are that either one use a fully calibrated model (Dupire's fo 阅读全文

摘要：Heap is a large pool of memory used for dynamic allocation. When using new operator, to allocate the memory, the memory is assignedfrom heap.When a dynamically allocated variable is deleted, the memory is “returned” to the heap and can then be reassigned as future allocation requests are received.Th 阅读全文

摘要：Assume X ~ N(µx,σx), Y~ N(µy,σy), corre(X,Y) =ρthen1) E(eXeY) = exp{µx +1/2σ2x +µY+1/2σY2+ρσxσy}2)cov(eX,eY) =exp{µx+1/2σ2x +µY+1/2σY2}(exp{ρσxσy}-1) 阅读全文

摘要：1）一个快速的近似公式，对于欧式ATM期权call = put = StockPrice * 0.4 * volatility * Sqrt( Time )证明可以首先对正太分布的累积概率函数做泰勒展开即可。reference:http://quant.stackexchange.com/questions/1150/what-are-some-useful-approximations-to-the-black-scholes-formula2）normal BS vol ≈ spot price(fwd price) * lognormal BS vol 阅读全文

摘要：Assume t<u, conditional expectaion follows normal distribution E(Wt|Wu) ~ N[t/uWu, t(u-t)/u]证明与布朗桥有关， 具体可见http://disi.unal.edu.co/~gjhernandezp/mathcomm/slides/bm.pdf 阅读全文

摘要：看到别人的一个博文，写得很好，http://www.cnblogs.com/yiyezhai/archive/2012/12/12/2813734.html 阅读全文

摘要：一般规律，通胀率于债券收益率正相关。当通胀率较高时，市场会降低对债券的需求（固定息票） =》 导致债券价格下跌，收益率上升。 阅读全文

摘要：网上找到的， 总结的比较细。 看了其中一部分，还不错http://www.cs.ucr.edu/~lyan/c++interviewquestions.pdf 阅读全文

摘要：欧式买方期权价值 C(S_{0},T,K), 美式 c(S_{0},T,K). 假设没有股息。 - 根据两类期权定义可知 对于任意时间 C≤c,- 根据期权平价公式 C(S_{t},T-t,K) + K DF(t,T) = P(S_{t},T-t,K) + S_{t} 可以得到 C(S_{t},T-t,K) = P(S_{t},T-t,K) + S_{t} - K DF(t,T) >= S_{t} - K DF(t,T) >= S_{t} - K 进一步可得 C(S_{t},T-t,K)>= max(0, S_{t} - K). max(0, S_{t} - K) 对应的是美 阅读全文

摘要：explicit is a key word to prevent the constructor to do the implicit type conversionclass String1 {public: String1(int n); // assign n bytes}class String2 {public: explicit String2(int n); // assign n bytes}String1 str1 = 'x'; // OK: 'x' will be converted to int and calls the String1 阅读全文

摘要：A smart pointer is an abstract data type that stimulates a pointer with additional funationality, such as auto memory deallocation, reference counting, etc. In practise it could be a wrapper around of a regular pointer and forwards all meaningfull operations to the pointerThe simplest smart pointer 阅读全文

摘要：经常容易混淆的概念pointer to const -> 指向的数据不能被修改const pointer -> 指针的地址不能被修改int a = 3;int b = 4;// read from right to leftconst int * p1 = &a; // a pointer to a const intint * const p2 = &b; // a const pointer to an int*p1 = b; // not OKp1 = &b; // OKa = 4; // OK: *p1 = 4p2 = &a; // not 阅读全文