606 reputation
314
bio website econinfo.de
location Kiel, Germany
age 39
visits member for 3 years, 10 months
seen Apr 24 at 9:10

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awarded  Popular Question
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23
awarded  Popular Question
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asked Market overview trading platforms (with OTC)
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Aug
29
comment What distribution to assume for interest rates?
I used the matlab function (translated to R), and it gives quite reasonable numbers.
Aug
27
comment Do people use unbounded interest rate models, and what alternatives exist?
About the upper bound: Consider the case of hyperinflation, where the interest rate will mostly be a reflection of the inflation expectation. Why would you set an upper bound on this?
Jul
2
revised Sanity check - How to price callables
Added comments to the code
Jul
2
comment Sanity check - How to price callables
Thanks for the reply. Seems I have taken a shortcut assuming a call price of 100 in every case - should I be able to expect the users that they will be able to provide the call price (this is for a software to calculate Solvency II risks in the standard formula). Theoretically I am using a truncated tree, in which i either have a terminal node in each date, if the bond is called with probability $p_t$, or the bond is not called, and i get to the next node with $1-p_t$
Jul
2
awarded  Benefactor
Jul
2
accepted Sanity check - How to price callables
Jun
29
awarded  Promoter
Jun
27
asked Sanity check - How to price callables
Apr
30
comment Stock Price Behavior and GARCH
@SRKX - I don't think this community would benefit from a very narrow definition of quant.
Apr
30
comment Stock Price Behavior and GARCH
Generally, yes. But I'm not shure about your formulation of the geometric brownian motion, I'd say your formula describes a standard brownian motion. The formula I know and use is something along the lines of $\Delta S= S\cdot e^{\mu \Delta t + \sigma \epsilon \delta t}$.
Apr
27
answered How many data points are required to perform a fitting of GPD?
Apr
19
comment Is “eoddata” a good data source?
I wasn't updating the data, just pulled the historical archives, so I have no idea about the update time.