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From Fran Lattanzio <>
Subject Re: [math] Question regarding use of CM - who is using it?
Date Fri, 01 Feb 2013 15:05:42 GMT

We use CM in an options analytics package. Some of the interesting usages are:
1. Implied vol calculations (a semi-fancy root find over function with
no closed forms).
2. Dividend projections.
3. Option greeks (partial derivatives of value function), both
automatic and numerical.
4. Non-linear model fitting (vol smile and surface models, for example).
5. Yield curve stripping and interpolation/extrapolation.
6. Non-parametric smoothing.

There are many more. CM is central to what the package does.


On 1/31/13, Thomas Neidhart <> wrote:
> Hi,
> Gilles and myself will give a presentation on CM at FOSDEM this weekend
> and we would like to have a few more examples of how CM is currently used.
> I know Phil asked a similar question a few weeks ago, was there any
> feedback?
> Thanks,
> Thomas
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