network profile
| bio | website | |
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| location | ||
| age | ||
| visits | member for | 7 months |
| seen | yesterday | |
| stats | profile views | 49 |
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1d |
awarded | Nice Question |
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1d |
comment |
Exact value of mean reversion rate knowing terminal value of the process Could it be the $\beta$ of a log-regression $x_{t}\sim \log(t)$? |
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1d |
asked | Exact value of mean reversion rate knowing terminal value of the process |
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1d |
accepted | Regime switching in mean reverting stochastic process |
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1d |
accepted | Basket option pricing: step by step tutorial for beginners |
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May 12 |
awarded | Promoter |
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May 11 |
comment |
State-space representation of Ornstein–Uhlenbeck and CIR processes @chrisaycock No problem with his correction, that was just my oversight to mix up UO with CIR formula. By the way, I decided to include both in my question :) |
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May 11 |
revised |
State-space representation of Ornstein–Uhlenbeck and CIR processes deleted 27 characters in body |
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May 11 |
revised |
State-space representation of Ornstein–Uhlenbeck and CIR processes deleted 13 characters in body |
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May 11 |
comment |
State-space representation of Ornstein–Uhlenbeck and CIR processes CIR, you're right. |
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May 11 |
accepted | RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences? |
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May 10 |
comment |
RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences? But if issueDate <- effectiveDate <- as.Date('2013-05-03') how can I evaluate this bond on 10 May 2014? Doesn't issueDate <- effectiveDate <- as.Date('2013-05-03') make the pricing on 03 May 2013 instead of 10 May 2014? |
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May 10 |
comment |
RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences? Then, if I understand my mistake, you're telling me I switched effectiveDate field with the issueDate one: if I wanted to calculate the price of this bond with RQuantLib on 10 May 2014 I would have to set issueDate <- '2014-05-10' and effectiveDate <- '2013-05-03'. Correct? |
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May 10 |
comment |
RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences? Hi Brian B. I've included all data which are needed to price that bond, I do not understand what else could make my question more comprehensible. I could attach R code but in fact it is sufficient one to copy each field value in FixedRateBondPriceByYield() to get the same result... unless I've made some mistakes, that is quite likely according to the difference with Bloomberg YAS. |
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May 10 |
asked | State-space representation of Ornstein–Uhlenbeck and CIR processes |
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May 10 |
asked | RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences? |
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May 8 |
comment |
How to normalize technical indicators for machine learning? My opinion: PCA over these indicators after having z-scaled observations to make covariance matrix equal to correlation matrix. |
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May 7 |
accepted | Hedging credit risk using Put equity options |
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May 7 |
comment |
Hedging credit risk using Put equity options Am I the only one who gets 404 - PAGE NOT FOUND when trying to open Biran B's link? |
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May 6 |
asked | Hedging credit risk using Put equity options |
