Richard
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 Feb 25 comment VECM model with GARCH (1,1) error in R Right ... the R package is this one: cran.r-project.org/web/packages/tsDyn/tsDyn.pdf Feb 25 comment Normal Black&Schole model for swaptions isn't working properly what are your input parameters? Feb 25 revised Normal Black&Schole model for swaptions isn't working properly added 91 characters in body Feb 25 comment VECM model with GARCH (1,1) error in R 1st please use latex, I can hardly read the equations. 2nd a google search brings us to this the function VECM here quant.stackexchange.com/questions/24527/… have you tried this one? Feb 25 comment Modelling callable bonds in a risk model (historical simulation) What would you say dominates for the decision to call: rates or spreads? Feb 25 asked Modelling callable bonds in a risk model (historical simulation) Feb 24 comment Empirical or theoretical quant insights that have shaped your thinking? Could you give more details (maybe a reference to) "Unconditional risk premia do not exist"? Feb 24 comment Two correlated brownian motions Yes, but in your second equastion you have a $Z$ which is just one random variable. MAybe you should put a $dZ_t$ there. Then if you integrate you have the same as I have. Feb 24 comment Variance of a Stock price and relationship with volatility I have asked the OP, maybe you know @Gordon: This is only the expected price in the risk-neutral measure. Thus it is used for prcing. What do you need a risk-neutral variance for? could be useful, I just don't know any use. Feb 24 revised Does a Poisson process converge to an Ito process in long term? edited title Feb 24 comment Two correlated brownian motions not that in the answer below the second parameter in $N(x,y)$ is the variance and not the volatility. Feb 24 comment Two correlated brownian motions Hi, and no, I don't think so. You need the square-root because constant multiplicators enter variance with their square. and no matter whether we speak of increments or the processes it is variance and covariance that matters. Writing $W_t = W_t - W_0$ with $W_0 =0$ you can see that it does not matter whether we speak of increments or the process. In general we can write $W_t = W_s + W_t-W_s$ and $W_t-W_s$ is independent of $W_s$ for $t>s$. Feb 23 comment Variance of a Stock price and relationship with volatility This is only the expected price in the risk-neutral measure. Thus it is used for prcing. What do you need a risk-neutral variance for? could be useful, I just don't know any use. Feb 23 answered Two correlated brownian motions Feb 22 awarded Popular Question Feb 19 accepted Why is there an upper limit on the premium of an ATM (!) call swaption in the Black76 model? Feb 18 comment Why is there an upper limit on the premium of an ATM (!) call swaption in the Black76 model? Yes .. maybe that's all. It was not clear to me until today when I saw that this is the reason why BB does not deliver any implie vola (B76) for long maturities. Feb 18 accepted Intuition behind Fama-French factors Feb 18 revised Why is there an upper limit on the premium of an ATM (!) call swaption in the Black76 model? edited title Feb 18 revised Why is there an upper limit on the premium of an ATM (!) call swaption in the Black76 model? added 410 characters in body