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seen Sep 4 '13 at 2:17

Jun
16
comment How to calculate the implied volatility using the binomial options pricing model
yeah...i just stopped by before sleeping and clearly i didnt appreciate that indeed he may be looking for a local vol structure. but if he's not, and wants to assume $\sigma$ is constant, i fail to see how what i describe above won't work.
Jun
16
answered How to calculate the implied volatility using the binomial options pricing model
Jun
11
comment Change option B&S pricing
Look up Margrabe option. Essentially you fix the numeraire to be a unit of one the stocks, and price the other in those units. The pricing formula works out neatly for the payoff.
May
21
comment VaR for portfolio of funds
@quant_dev best way without any more info as to whether the portfolios include short positions or not, whether there is overlap in the securities held among the funds, etc., is to run a backtest using each approach and pick the more conservative of the two, assuming either one is conservative enough at the threshold/time combination in question.
May
21
revised Call vs. Put Option
added 2769 characters in body
May
21
revised Parameter estimation of Ornstein–Uhlenbeck and CIR processes
added 669 characters in body
May
21
comment Parameter estimation of Ornstein–Uhlenbeck and CIR processes
basically the filter is used to provide a feedback error by way of a likelihood function that then produces estimates for the parameters. Unfortunately, there is no guarantee of a unique solution as the objective function is not convex.
May
21
comment Replicating strategy in the Black-Scholes model
amazon.com/Stochastic-Calculus-Finance-Binomial-Textbooks/dp/…
May
21
answered Replicating strategy in the Black-Scholes model
May
13
comment Parameter estimation of Ornstein–Uhlenbeck and CIR processes
again, i am fine with the rules, but when they are expressed to me in the way that was carried out, i see no reason to believe something equally distasteful won't be brought on to me in future while posting here. Best Regards and Wishes...ciao
May
13
comment Parameter estimation of Ornstein–Uhlenbeck and CIR processes
whatever happened to laissez faire? a friendly one liner to ask for a 'mini-bounty' that was heartily accepted by the OP is hardly a negotiation. I explained very well why i thought it was no big deal, but now that that has been purged, i have lost interest in posting here. I am sorry for any troubles, and in particular to those who have something against a guy who only wants to help out but have some fun while doing so.
May
11
comment Parameter estimation of Ornstein–Uhlenbeck and CIR processes
I tried to edit this for you but it hasn't gone through. there is no such term $x_{t}^{\beta}$ in a classical OU process. what you have up there is more like a CIR process. you say don't mind the diffusion though, so whatever.
May
11
comment Quadratic variation question
+1 sweet use of Ito product rule.
May
11
answered Quadratic variation question
May
11
answered Parameter estimation of Ornstein–Uhlenbeck and CIR processes
May
11
suggested suggested edit on Parameter estimation of Ornstein–Uhlenbeck and CIR processes
May
11
comment What is the average stock price under the Bachelier model?
+1 for invoking Ito isometry :]
May
11
comment RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences?
set settlement days to 365. effectiveDate has a very precise meaning in this context and simply can't be used interchangeably as a valuation date. regards...
May
10
comment RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences?
effectiveDate means the date the bond begins to accrue interest, the date it functionally goes 'live'; issueDate is the date investors first get the chance to buy-in. For your purposes just set them equal to each other.
May
10
comment RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences?
rather, make issueDate <- effectiveDate <- as.Date('2013-05-03')