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Jul
23
comment Libor OIS basis swap equation
Have you checked out the following paper? papers.ssrn.com/sol3/papers.cfm?abstract_id=2219548
Jul
9
comment Solving the Bootstrapping equation when matrix is non-square
What's your way of obtaining this data? Is this freely available somewhere?
Jun
26
awarded  Editor
Jun
26
awarded  Citizen Patrol
Jun
2
comment Is the Brownian motion multiplication rule a definition or is it a theorem?
Then I would argue that most books are mistaken, since it is a theorem in the original paper. Not that it really matter though.
Jun
2
comment Is the Brownian motion multiplication rule a definition or is it a theorem?
Why is it known as a lemma? If you go through the original paper from 1944, you will note that is actually a theorem.
Mar
20
awarded  Commentator
Mar
20
comment Markov Pricing kernel
Why don't you ask your professor to expand more on the topic? Guess he can be happy someone actually reads his lecture notes, and it could lead to a better understanding for the whole class.
Jan
30
awarded  Critic
Jan
29
awarded  Scholar
Jan
29
comment Bloomberg equity option volatility data
Okay thanks! I'll send a message to Bloomberg help then when I can use it.
Jan
29
accepted Bloomberg equity option volatility data
Jan
29
comment Bloomberg equity option volatility data
Thanks! Do you also happen to know the fields so I can obtain the data from all the volatility surface?
Jan
29
comment Bloomberg equity option volatility data
Well as I said, I currently do not have access to a Bloomberg terminal.
Jan
29
asked Bloomberg equity option volatility data
Jan
29
comment What data sources are available online?
Yes, using the API does not give you any access to Bloomberg data.
Nov
25
answered What are the canonical books for statistics applied to finance?
Sep
24
awarded  Autobiographer
Sep
12
comment Counterparty risk tutorials
All of the member homepages of mathematics department at that university are currently broken - I think the link will be fixed at some point.
May
31
comment Calculating log returns using R
Doesn't change at all, it's still the same code. At least for my zoo object the function he posted worked without any flaws.