Richard
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 Feb24 answered Copulas simply explained Feb24 answered Why an option has sometimes and implied volatility greater than 100%? Feb24 comment Why an option has sometimes and implied volatility greater than 100%? Very good answer! Log-return can be less than $-100\%$ and the price is still positive. And the standard deviation can be whatever. Feb24 comment Non-Negative Matrix Factorization - Estimating the Mean I am aware of the PCA of a covariance matrix and I have seen NNMF being applied to data. But how is NNMF applied to a covariance matrix? A covariance matrix is usually negative too. Is it transformed? In my experience NNMF is hard to interpret. Feb23 answered Incorrect characterization of spot rate? Feb19 comment VIX-implied Volatility calculator Right, I agree. Feb19 comment VIX-implied Volatility calculator I would put it a bit differently. CBOE VIX still represents implied (not realized) vol as it is derived from option prices. I think if you can put it like: buy amount $X$ of option 1, buy amount $Y$ of option 2 then you have a portolio and you can use cost-of-carry. But as VIX equals square-root of something you can not buy it. It just does not exist in the market. You can neither buy VIX spot (because VIX is not an asset ....) and you can not buy sqare-root of the portfolio. For cost-of-carry you have to be able to buy spot. Feb19 comment VIX-implied Volatility calculator I added some more details in the answer. Feb19 revised VIX-implied Volatility calculator added 613 characters in body Feb19 answered VIX-implied Volatility calculator Feb16 reviewed Close Discounting factor depends on Feb11 comment Is Geometric Brownian Model suitable for long term price forecast? In how far does GBM help you in forecasting? As a stochastic model - yes. As a forecast: no. Feb10 comment Why do we usually model returns and not prices? And @emcor. In case you ever heard of white noise and random walks it might be natural to consider returns, maybe aggregate them for longer perios and if needed multiply them by some initial price. Feb10 comment Why do we usually model returns and not prices? Dear @emcor. You are right about this not very insightful comment. Of course if one reads Meucci's work one sees what is meant. So I edited the questions. Thanks for your valuable input. Feb10 revised Why do we usually model returns and not prices? added 45 characters in body Feb10 revised Why do we usually model returns and not prices? deleted 1 character in body Feb10 answered Why do we usually model returns and not prices? Feb9 revised Getting Parameter of Translated Gamma Distribution from Monte Carlo added 675 characters in body Feb9 answered Getting Parameter of Translated Gamma Distribution from Monte Carlo Feb9 comment Get distribution for aggregate loss using Monte Carlo You try to fit this $x_0$ by the method of moments (as I have seen in the other question). Maybe this estimte has too much variance. Try maximum-likeliohood instead. It should work too.