353 reputation
112
bio website
location
age
visits member for 1 year, 3 months
seen 14 hours ago

14h
comment Should I analyze the tick data day by day?
What is your goal ?
Jul
15
comment Max Likelihood via Marquardt Optimisation
Do you have documentation for eviews ?
Jul
15
accepted Forward rates formulae
Jul
15
comment Getting the next price of a GBM with reversion
So you can use whatever you want... Typically: annual vol = 0.15, annual drift =0.05, price equilibrium price on the same level (110 and 100 for exemple). Or if you build an interface you can let them be specified by the user.
Jul
14
comment Getting the next price of a GBM with reversion
This is the difficulty... the process called calibration. It is abit difficult to get parameters from your data. Luckily there are probably people on the internet who have done it. The source of these data will depends on the asset you want to modelize.
Jul
13
comment How to get permanently growing chart within PCA
1) There is some dangerous approximations on the article you linked. 2) They lead to approximations from you: no there is no garanteed portfolio wich is almost increasing. 3) Your plot is not available anymore, but it look like you ploted the weigth of an asset inside the PCA. You should add your code if you want us to point out what is wrong.
Jul
13
answered Break down XIRR to different segments
Jul
13
answered Counterparty risk tutorials
Jul
13
comment Getting the next price of a GBM with reversion
I edited my response with one implementation in R, the the scale for the volatility depend on the timestep you use.
Jul
12
comment Forward rates formulae
Can we think of this formula as two ways to express the inflation between s and t, once seen from 0 and once from s ?
Jul
12
comment Forward rates formulae
That was the trick I was looking for. How does it work if you add a dynamic $dF(s,t,T) = \sigma F(s,t,T) dWs$ ?
Jul
12
comment How to see the impact of one variable on a set of other variables?
I would suggest this presentation as a first introduction: jeanpaul.renne.pagesperso-orange.fr/pdf/present_svar.pdf Only linear autoregressive model are used here but this should give you a good overview of the steps you need to take.
Jul
12
comment Getting the next price of a GBM with reversion
There is no such thing like "the most suitable expression [] for real world instruments". Models are created/studied by thousands of people since half a century for a very various range of financial assets. If you want to use these models you should: 1) learn about models and wich one is more suited to your data 2) learn how to implement models (yes this is a very trivial exercise ... this is probably why your question is downvoted). 3) Learn how to choose parameters for a model. This process is called calibration. (this is not so easy. questions welcome).
Jul
12
revised Getting the next price of a GBM with reversion
added 1903 characters in body
Jul
10
comment Getting the next price of a GBM with reversion
There is an exact formula for all of them with very similar notations.
Jul
9
answered Divergence between binomial pricing and monte carlo simulation for vanilla european call?
Jul
9
comment How to convert HJM model risk-neutral measure $\mathbb{Q}$ to real measure $\mathbb{P}$?
May I ask you why ? I use this kind of model for pricing, so I only bother about Q. Why would you need it under P ?
Jul
9
answered Getting the next price of a GBM with reversion
Jul
9
comment hedging with known volatility
There may be an option somewhere....
Jul
9
answered How to benchmark bonds?