The tag has no wiki summary.

learn more… | top users | synonyms

0
votes
0answers
26 views

Use of Stochastic Calculus in QF [on hold]

What are some of the areas of stochastic calculus are used in QF, and what are some of the applications? If this question is maybe too broad, please provide references instead. Please provide ...
0
votes
0answers
38 views

What interest rate dynamics would you suggest to simulate a single swap?

I need to calculate the Potential Future Exposure (PFE) for a single swap (not a portfolio). As far as I know, a stochastic model is needed to simulate the interest rate curves (from here). Could ...
0
votes
0answers
66 views

calculation of parameters in Stochastic Volatility

I want to compare volatility models from constant volatility, implied, time-varying (ARCH, etc) and stochastic volatility. I can find the process to calculate constant, implied and ARCH and GARCH ...
0
votes
0answers
75 views

Stochastic Volatility for Stocks, FTSE

Can someone help me with calculating Stochastic Volatility (of stocks and options) using SAS or R or Matlab please? I am new to SAS and I am trying to use Heston model, White-Hull model or any other ...
1
vote
0answers
51 views

What are the estimation methods for SV models?

I want to know about some methods like Methods-of-Moments, Quasi-Maximum Likelihood method, Baysian methods using Markov Chain Monte Carlo methods. Is there any reference to have an idea of these ...