From: Daniel J. D. <dd...@da...> - 2004-09-13 19:26:17
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Neil, Are you doing any work on Heston sto. vol. and PIDE (not 100,000 miles = (km)) away from current topic? =20 Cheers =20 Daniel =20 ________________________________ From: qua...@li... on behalf of Neil P = Firth Sent: Mon 13/09/2004 18:11 To: Penschke, Walter Cc: qua...@li... Subject: Re: [Quantlib-users] Merton76Process Hello, Lots of interesting financial models, such as variance gamma and normal inverse gamma, are pure jump models, so any redesign should take them = into consideration. Bringing in a LevyProcess class, with drift, diffusion = and jump methods might tidy things up. However, that is quite a large change and might cause more problems than it solves. Neil --------------------------------------------------- Neil Firth Brasenose College Oxford OX1 4AJ United Kingdom Office: 01865 280616 fi...@ma... http://www.maths.ox.ac.uk/~firth --------------------------------------------------- ------------------------------------------------------- This SF.Net email is sponsored by: YOU BE THE JUDGE. Be one of 170 Project Admins to receive an Apple iPod Mini FREE for your judgement on who ports your project to Linux PPC the best. Sponsored by IBM. Deadline: Sept. 13. Go here: http://sf.net/ppc_contest.php _______________________________________________ Quantlib-users mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-users |