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16h
comment Rblpapi millisecond resolution
Ok, I checked this ... the synthax that you provide does not work because "xts" is not a return typ. What if you contact the package author directly? I think he is quite responsive.
22h
comment Looking for an algorithm to generate (dummy) share price data
This is not "pseudo" .. just check out simulation and you will see that his is part of the theory. Sometimes you have to simulate the price process e.g. if you want to price path dependent options ... this is in the core of finance.
Feb
5
comment Rblpapi millisecond resolution
could you provide an example of the call?
Feb
5
reviewed Approve Intraday or overnight returns?
Feb
4
comment generate matrix in Matlab
I'm voting to close this question as off-topic because ... sounds a bit like a programming only question ...a Matlab only one...
Feb
4
comment Call options and portfolio of the same options worth less?
as in Gordon's anwser part of the answer is given using Jensen's inequality en.wikipedia.org/wiki/Jensen%27s_inequality
Feb
4
comment ABS vs covered bonds vs CDO
Yes .. can be googled, rather basic .. but as you put it in your answer ... one can give a good picture about this topic ..
Feb
3
comment Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation
I edited the answer. Please provide your prices for 1,2,4,6,8 years and compare to the numbers above. Does your error increase?
Feb
3
revised Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation
added 394 characters in body
Feb
3
comment Spectral and distortion risk measures
Great example .. your answer could benefit from this example too. Thanks
Feb
3
comment Spectral and distortion risk measures
Do you have examples for each kind of risk measure?
Feb
3
comment Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation
As you can see above the price of this Option is the same as the price of a European call... Thus you have the analytical value.. In each step
Feb
2
answered Portfolio with lots of subportfolios
Feb
2
comment Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation
See my edit. What is your stepsize?
Feb
2
revised Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation
added 491 characters in body
Feb
2
answered Portfolio optimization
Feb
2
revised Portfolio optimization
edited body; edited title
Feb
2
answered Looking for an algorithm to generate (dummy) share price data
Feb
2
revised Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation
added 1 character in body
Feb
2
answered Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation