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| bio | website | |
|---|---|---|
| location | Oslo, Norway | |
| age | ||
| visits | member for | 1 year, 7 months |
| seen | Jun 13 at 10:52 | |
| stats | profile views | 28 |
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Jan 17 |
awarded | Scholar |
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Jan 17 |
accepted | Reasonable Hull & White parameters |
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Dec 7 |
revised |
Reasonable Hull & White parameters added 40 characters in body |
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Dec 7 |
asked | Reasonable Hull & White parameters |
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Nov 17 |
comment |
Why is random trading minus transaction costs not zero expected value? Would you consider the bid ask spread be considered a transaction cost? If not, a very simple counterexample could be provided. But I assume that is not what you are asking about? |
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Oct 26 |
awarded | Yearling |
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Sep 12 |
comment |
Correlation: Test for linear dependence Thanks. I think the second paper maybe can solve some of my issues (restated in a comment above). I will have a look at it. |
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Sep 12 |
comment |
Correlation: Test for linear dependence I have started to be a bit vary of just looking at the correlation coefficients, as they are simply a number and could be stable although the returns do not follow a lognormal (or any other assumed distribution) walk with correlation p. I guess one would have to look at the distribution as a whole, considering whether the observed data would be sampled from e.g. a bivariat normal distribution. |
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May 11 |
comment |
age-sensitive correlation measurements in finances Have a look at RiskMetric's "Technical Document" from 1994, it should all be explained there. It also contains a recursive formula :) If not, the r's in the formula is logreturn of stock j at time (t-n), while your lambda is the weighting constant (RiskMetrics used 0.94, and this usually works well) |
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Apr 24 |
comment |
How to get greeks using Monte-Carlo for arbitrary option? Numerical derivatives are iffy business, but I agree that it seems to be your best choice. As you probably know; be aware of the how the precision decreases quickly(!) as higher orders are measures. |
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Apr 24 |
revised |
Correlation: Test for linear dependence edited title |
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Apr 24 |
asked | Correlation: Test for linear dependence |
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Apr 20 |
comment |
Analytical relationship between a covariance matrix and cross-sectional dispersion And when you measure standard deviation, are you using the estimator 1/(N-1) * sum(r_i,t * r_i,j) (summed over some time) |
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Apr 20 |
comment |
Analytical relationship between a covariance matrix and cross-sectional dispersion so if r_i and r_j are the returns of each stock, you are looking for the expected value of the product of these two? i.e. E(r_i*r_j) ? |
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Apr 20 |
comment |
Do I need a copula to accurately estimate the VaR of a portfolio of risky assets? @Alexey Kalmykov Of course, but if you choose method and distribution right, I dont really see how a historical approach will be better than a distributional. |
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Apr 20 |
awarded | Commentator |
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Apr 20 |
comment |
Do I need a copula to accurately estimate the VaR of a portfolio of risky assets? Historical VaR will not measure events that "have not already happened" in your data set. Hence, you will get a more general result if you do some distributional assumptions. |
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Apr 17 |
awarded | Critic |
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Mar 12 |
answered | age-sensitive correlation measurements in finances |
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Mar 12 |
answered | Is it possible to demonstrate that one pricing model is better than another? |
