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| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 1 year, 2 months |
| seen | Jun 21 '12 at 9:33 | |
| stats | profile views | 40 |
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Mar 8 |
awarded | Yearling |
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May 18 |
comment |
Time series of PCA - Sign change in factor loadings Good point. Thanks |
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May 15 |
answered | What's the best way to test/validate an interest rate lattice model |
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May 15 |
awarded | Commentator |
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May 15 |
comment |
What's the best way to test/validate an interest rate lattice model I think this question is still too general. There are 1 factor models, 2 factor models, 3 factor models, gaussian models, lognormal models, square root models, with mean reversion, without mean reversion, with stoch vols, etcetera ... In my opinion there is no general answer to your question as it is |
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May 14 |
comment |
What's the best way to test/validate an interest rate lattice model How many factors are you looking at? What do you mean by performance? Speed? Accuracy? Hedging performance? |
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May 13 |
awarded | Revival |
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May 9 |
comment |
Is the binomial model wrong? Cool, good luck with your trolling then :) |
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May 8 |
answered | Is the binomial model wrong? |
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May 8 |
comment |
How to build a mean reverting basket? What you are talking about is known as Cointegration. Just look for it |
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May 8 |
answered | Implementing a Fast Fourier Transform for Option Pricing |
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May 3 |
awarded | Editor |
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May 3 |
revised |
VaR implementation using quantlib? deleted 140 characters in body |
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May 3 |
comment |
VaR implementation using quantlib? Apologies for the mistake |
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May 3 |
answered | Utility to download historical Implied Volatility data from Interactive Brokers? |
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May 3 |
answered | VaR implementation using quantlib? |
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May 2 |
awarded | Revival |
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May 2 |
answered | Pricing callable range accruals on spreads |
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Apr 25 |
answered | Calculate a discount rate given a PV at some point in the future |
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Apr 24 |
answered | How to value non-libor swaps (not basis swaps)? |
