Tag Archives: integral

Path Integral & Asset Pricing quant paper

Path Integral & Asset Pricing quant paper

Another research paper from SSRN

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2506430

Abstract:

We give a pragmatic/pedagogical discussion of using Euclidean path integral in asset pricing. We then illustrate the path integral approach on short-rate models. By understanding the change of path integral measure in the Vasicek/Hull-White model, we can apply the same techniques to “less-tractable” models such as the Black-Karasinski model. We give explicit formulas for computing the bond pricing function in such models in the analog of quantum mechanical “semiclassical” approximation. We also outline how to apply perturbative quantum mechanical techniques beyond the “semiclassical” approximation, which are facilitated by Feynman diagrams.

 

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How to use integral and dot product within Matlab Mupad

How to use integral and dot product within Matlab Mupad

As I work on this Deutsche Bank Forex (aka DB FX) strategy, here are some useful links for Mupad:

http://www.mathworks.com/help/symbolic/mupad_ug/if-mupad-cannot-compute-an-integral.html

http://www.mathworks.com/help/symbolic/mupad_ref/linalg-scalarproduct.html

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Microsoft Excel and Windows could be integral for data in my new HFT production live trading system in mostly .NET and Visual C++

Microsoft Excel  and Windows could be integral for data in my new HFT production live trading system in mostly .NET and Visual C++

I have announced two third party software components that will expedite my development and implementation into a production live trading system. Search for those if you need but the key is they use Excel with a COM connection using Visual C++. They are very affordable and  could be part of my live trading system with generated code from my Matlab Simulink models. Well, that is the hope anyhow so stay tuned as I get to it. This will only be available for QuantLabs.net Premium members only.

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