Copyright (C) 2011, 2012, 2013, 2014, 2015, 2016, 2017, 2018, 2019, 2020, 2021 Klaus Spanderen
This blog is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. The posts on this blog are my own and don’t represent my employer’s positions, strategies, or opinions.
16 thoughts on “About”
thank you for your great blog !
Thank you very much for sharing…
~ Mustapha A.
Very good and useful blog…Thanks!
– Konstantinos S.
Did you remove the source codes linked to blog posts? I can’t download any of them.
Thanks for highlighting this issue. My IP has changed the FTP set-up but I’ve now adapted the config and it should work again.
maybe you would like to test the CLV framework *http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2747541* for a very fast pricing with smile, extremely fast calibration, and pricing of high dimensional baskets? It would nicely fit to your blog.
I do not mind to share prototype code with you. Just let me know.
[…] Klaus Spanderen did a great job evaluating the precision of the perfect foresight. Though it can be surprisingly good, another case shows that it should be considered with caution, namely as the highest upper bound of the fair storage value. […]
Thanks – great resource.
The source code for vpp pricing is not valid anymore (old url) is it possible to share it again, Thanks for sharing your work it is very helpful
Just checked all links are working. Can you please specify which link is not working? Thanks
My mistake it was my antivirus who blocked the download.
Thank for your help.