Owe Jessen
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 Oct31 awarded Popular Question Jul23 awarded Popular Question Jul2 awarded Curious Feb11 awarded Yearling Jan16 awarded Popular Question Dec8 asked Market overview trading platforms (with OTC) Feb11 awarded Yearling Jan27 awarded Nice Question Aug29 comment What distribution to assume for interest rates? I used the matlab function (translated to R), and it gives quite reasonable numbers. Aug27 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? Jul2 revised Sanity check - How to price callables Added comments to the code Jul2 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 $1-p_t$ Jul2 awarded Benefactor Jul2 accepted Sanity check - How to price callables Jun29 awarded Promoter Jun27 asked Sanity check - How to price callables Apr30 comment Stock Price Behavior and GARCH @SRKX - I don't think this community would benefit from a very narrow definition of quant. Apr30 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 $\Delta S= S\cdot e^{\mu \Delta t + \sigma \epsilon \delta t}$. Apr27 answered How many data points are required to perform a fitting of GPD? Apr19 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.