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| An Asymptotic FX Option Formula in the Cross Currency Libor Market Model: Wilmott Magazine Article |
| Atsushi Kawai & Peter Jäckel |
311 Views |
In this article, we introduce analytic approximation formulae for FX options in the Libor market model (LMM). The method to derive the formulae is an asymptotic expansion
technique introduced in Kawai [Kaw03].
We first apply the method to the lognormal LMM and lognormal FX model. Then, the method is applied to the displaced diffusion LMM and the displaced diffusion FX model. Some numerical examples show that the derived formulae are sufficiently accurate for practical applications.
[First published in issue 28 of Wilmott - March 2007] |
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| Analyze More, Program Less: A Webinar about Using SciDB for Computational Finance |
Paradigm4 presents a webinar about using SciDB for scalable financial analytics. You?ll see how SciDB reaches Big Data scale without forcing you to become a computer scientist?no mapping, no reducing, no concocting parallel algorithms by hand. The webinar will also demonstrate SciDB-R, an R package that lets you remain an R programmer while enjoying the scalable analytics and data management of SciDB.
REGISTER AT: https://attendee.gotowebinar.com/register/8282094776337275392
Details:
? Presenter: Bryan Lewis, R package author and Chief Data Scientist, Paradigm4
? Time: Thursday 06 June 2013, 1:00 p.m. EDT (10:00 a.m. PDT)
Learn how SciDB lets you perform analyses like the following?all at massive scale and all within the SciDB array database so you don?t need to move data in and out of your analysis software:
? Multi-dimensional windowed aggregates
? Multidimensional decimation and oversampling methods
? Parallel mathematical operations on sparse or dense distributed arrays including statistical methods and linear-algebra operations
? Massive-scale generalized linear models, principal components, and clustering operations
In addition, you?ll see how SciDB supports the following:
? Ad-hoc, investigative analytics at scale
? Automatic data-distribution, parallelization, and scalability onto clusters of commodity hardware or cloud infrastructure.
Webinar Agenda:
? Introduction to SciDB
? Demo: Computational Finance with SciDB
? Live Q&A
HERE |
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