Twofish's Blog

September 21, 2006

Looking forward to TCFA

Filed under: china, quantitative finance, quantlib — twofish @ 5:29 am

Looking forward to the Chinese Financial Association meeting in Boston, and then the trip to NYC.  Right now I’m trying to put together an iternary.  My paper didn’t make the final cut, but I sent them a suggestion that next year that they ought to have a poster session.

It looks like it will be another few months before I can get a paper out.  I’ve taken a look at the Carr-Wu paper, and the basic problem is that they require an OTM option and at ATM option to do their analysis, and I only have two OTM options.  I’m going to see if I can salvage anything, but it looks like I’m going to have to do some pretty deep quant work to get out anything useful at all from the Shanghai warrants.  Not that this is a bad thing or anything.
At some point next week, I’m going to put in an FFT into QuantLib since I’ll need that to do anything with Levy processes.

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