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Insights, rants and raves from the intersection of high finance and high techTue, 22 Mar 2016 16:02:29 +0000hourly1http://wordpress.com/Comment on Introducing QuantLib: The Efficient Frontier by Mick Hittesdorf
https://mhittesdorf.wordpress.com/2013/05/25/introducing-quantlib-the-efficient-frontier/#comment-474
Tue, 22 Mar 2016 16:02:29 +0000http://mhittesdorf.wordpress.com/?p=789#comment-474The code for the Efficient Frontier and Portfolio Optimization posts are in the main.cpp that is checked into GitHub. Thanks for reading my blog.
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https://mhittesdorf.wordpress.com/2013/12/29/introducing-quantlib-modeling-asset-prices-with-geometric-brownian-motion/#comment-473
Tue, 22 Mar 2016 15:58:12 +0000http://mhittesdorf.wordpress.com/?p=1206#comment-473All the source code and cmake build instructions can be found at https://github.com/mhittesdorf/allthingsfintech.
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https://mhittesdorf.wordpress.com/2013/12/29/introducing-quantlib-modeling-asset-prices-with-geometric-brownian-motion/#comment-472
Tue, 22 Mar 2016 15:54:29 +0000http://mhittesdorf.wordpress.com/?p=1206#comment-472Conceptually, yes. The underlying value and volatility of the generated time series at a given point in time could be used to calculate the value of an option at that moment in time.
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