606 reputation
311
bio website econinfo.de
location Kiel, Germany
age 39
visits member for 3 years, 2 months
seen Mar 16 at 11:20

Feb
11
awarded  Yearling
Jan
16
awarded  Popular Question
Dec
8
asked Market overview trading platforms (with OTC)
Feb
11
awarded  Yearling
Jan
27
awarded  Nice Question
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.
Apr
18
answered Is “eoddata” a good data source?
Apr
18
comment Is “eoddata” a good data source?
I think the question of data quality is hard to answer unless somebody had a trusted source to compare the data with.
Apr
6
comment A few questions about signs of the Greek letters
I'm not shure I follow your first question: As you say, C can go up or down following an increase in $r_f$, depending on the features of the option. But $\rho$ gives you the result by the definition of $\rho$, it will be the change in $C$ relative to the change in $r_f$.