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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
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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?
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