Lisa Ann

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May
17
 awarded  Nice Question
May
16
 comment Exact value of mean reversion rate knowing terminal value of the process
Could it be the $\beta$ of a log-regression $x_{t}\sim \log(t)$?
May
16
 asked Exact value of mean reversion rate knowing terminal value of the process
May
16
 accepted Regime switching in mean reverting stochastic process
May
16
 accepted Basket option pricing: step by step tutorial for beginners
May
12
 awarded  Promoter
May
11
 comment Parameter estimation 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 :)
May
11
 revised Parameter estimation of Ornstein–Uhlenbeck and CIR processes
deleted 27 characters in body
May
11
 revised Parameter estimation of Ornstein–Uhlenbeck and CIR processes
deleted 13 characters in body
May
11
 comment Parameter estimation of Ornstein–Uhlenbeck and CIR processes
CIR, you're right.
May
11
 accepted RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences?
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?
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?
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.
May
10
 asked Parameter estimation of Ornstein–Uhlenbeck and CIR processes
May
10
 asked RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences?
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.
May
7
 accepted Hedging credit risk using Put equity options
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?
May
6
 asked Hedging credit risk using Put equity options
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