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seen Oct 10 at 14:06

Jan
3
awarded  Custodian
Jan
3
reviewed Reviewed How to create charts in WPF finance applications?
Jan
3
reviewed No Action Needed How fast is QuickFix ?
Jan
3
reviewed Reviewed What is the difference between Option Adjusted Spread (OAS) and Z-spread?
Jan
3
awarded  Custodian
Jan
3
reviewed Looks OK How does Interactive Broker's historical data compare to other alternatives?
Jan
3
reviewed Reviewed Innovative ways of visualizing financial data
Jan
3
reviewed Reviewed Market weights for Black-Litterman
Jan
3
reviewed Reviewed How to check if a timeseries is stationary?
Jan
3
reviewed Reviewed Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?
Jan
3
reviewed Reviewed How to simulate stock prices using variance gamma process?
Jan
3
reviewed No Action Needed Typical risk aversion parameter value for mean-variance optimization?
Jan
3
awarded  Custodian
Jan
3
reviewed No Action Needed Mapping symbols between tickers, Reuters RICs and Bloomberg tickers
Dec
20
awarded  Necromancer
Dec
18
comment Calculating and interpreting cumulative returns is R
@SBS Probably there is a require(TTR) missing. ROC() calculates discrete returns and you convert back with the exponential. You should correct that. Further more, if you model the price directly, try to reduce the sigma. You could also try something like seq(100,100.95,by=0.05) just to get started...
Dec
13
answered What does “primary calendar” mean?
Dec
6
comment What is the right group of durations?
Do you mean the set of Ito Processes with constant coefficients? They will be proportional to $e^{R(t+W_t)-R^2t/2}$ of course and I think the "link" gets lost here because of the $R^2$-term. One more point: If you take $R_+^*$, it is only a group with the operation $*$, not with $+$. Semantically, when refering to duration, we measure the difference of time points. Of course, when using $+$, the group property and therefore the exponential as a homomorphism is lost. Thats why I asked about "group of durations"...
Dec
6
comment What is the right group of durations?
Can you define "group of durations"? you don't mean interest rate sinsitivities right? what is the group operation? And in your point 1, you have an mapping of $\mathbb{R}_+^*$ on what space?
Dec
6
comment Large (5K-10K) non positive definite (particularly near singular) covariance matrices and treatments for Cholesky decomposition
Ok, now we are getting close... :-) I couldn't agree more with what @John said. Keep in mind that parametrizing the curves and modelling the parameters will effectively result in a dimension reduction. If you wanted to use your cholesky decomposition to simulate random paths for example, one realization gives you all the changed curves. Using those, you can reprice ALL your thousands of futures contracts (from your curves) and thus get the price changes. There can be other issues though: You will see them when you get there ;-)