SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Habib
April 22nd, 2008, 2:07 am
Forum: Student Forum
Topic: Quantile Regression
Replies: 5
Views: 56259

Quantile Regression

<t>QuoteOriginally posted by: AaronAre you trying to fit a quantile regression or interpret one?Fitting is entirely different from OLS. You need a linear programming algorithm. It's not hard to program simple examples, but for real data you should get some specialized code (unless you enjoy that sor...
by Habib
April 21st, 2008, 4:02 am
Forum: Student Forum
Topic: Quantile Regression
Replies: 5
Views: 56259

Quantile Regression

<t>Hi ,I am looking at quantile regression. I find it a little confusing, because, I have not been able to find a practicle example that I can study.My problem is that if we are to work out the regression equation for Quantile t = 0.05 (95%) . Do we have to do the following?Sort the data based on th...
by Habib
January 21st, 2008, 11:47 pm
Forum: Student Forum
Topic: Neural Network in Finance
Replies: 4
Views: 60143

Neural Network in Finance

by Habib
January 17th, 2008, 3:24 am
Forum: Student Forum
Topic: Delta Hedging ( Simple Question)
Replies: 1
Views: 59760

Delta Hedging ( Simple Question)

by Habib
January 16th, 2008, 11:48 pm
Forum: Student Forum
Topic: Delta Hedging ( Simple Question)
Replies: 1
Views: 59760

Delta Hedging ( Simple Question)

<t>Hi,This is a basis question, but I guess I have to start somewhere I have seen many examples for delta hedging such as the following:at t =0 , write a call C, the buy a Delta * Stock ( S ) , then we need to borrow V, V_0 = DELTA_0 * S_0 - C_0Therefore, Portfolio Value is , P = Delta_0 *S_0 - C_0 ...
by Habib
August 23rd, 2006, 10:42 pm
Forum: Student Forum
Topic: European Option ,, delta hedging ( SIMPLE QUESTION)
Replies: 2
Views: 94672

European Option ,, delta hedging ( SIMPLE QUESTION)

Thank you for your reply,,I will give that a try... definitely,, That was the payoff at expiry !!! ( was a careless mistake !!!!)Thanks again
by Habib
August 23rd, 2006, 3:34 am
Forum: Student Forum
Topic: European Option ,, delta hedging ( SIMPLE QUESTION)
Replies: 2
Views: 94672

European Option ,, delta hedging ( SIMPLE QUESTION)

<t>Hi,This might be a bit basic,, But your feedback would be helpful !!I am trying to understand delta hedging,, Most of the papers , books that I have see so far , follow require the following calculation,Vt = (+/-) Vc_t + Vb_t + Vs_twhere Vt is the portfolio value ate time t, Vb is the amount in B...
by Habib
December 5th, 2005, 11:51 pm
Forum: Student Forum
Topic: Implied volatility
Replies: 3
Views: 128381

Implied volatility

Thank you for your help,,I download some VB code, which seem to work. I think it might be a bug with the Matlab code
by Habib
December 4th, 2005, 9:38 pm
Forum: Student Forum
Topic: Implied volatility
Replies: 3
Views: 128381

Implied volatility

<t>Hi,I am the following FTSE CALLsStrike Call Price Time to expiry Index risk free rate 7525.00 132.00 164 6666.10 0.0622 7325.00 190.00 164 6666.10 0.0622 I am calculate the implied volatility using blsimpv in matlab but I get the following error :Volatility = blsimpv(666.1, 7525, 0.0622, 164/365,...
by Habib
May 25th, 2005, 10:47 pm
Forum: Technical Forum
Topic: Extracting risk free rate and implied index value from ftse options
Replies: 7
Views: 147938

Extracting risk free rate and implied index value from ftse options

Does this hold for every put and call with same strike and maturity? if so what could be going wrong ?could I use the GB libor then imply the dividend from the above equation?
by Habib
May 25th, 2005, 10:44 pm
Forum: Technical Forum
Topic: Extracting risk free rate and implied index value from ftse options
Replies: 7
Views: 147938

Extracting risk free rate and implied index value from ftse options

Sorry the exuation should be ,C- P = (S0 - D) -Xexp(-tr)
by Habib
May 25th, 2005, 10:44 pm
Forum: Technical Forum
Topic: Extracting risk free rate and implied index value from ftse options
Replies: 7
Views: 147938

Extracting risk free rate and implied index value from ftse options

Sorry the exuation should be ,C- P = (S0 - D) -Xexp(-tr)
by Habib
May 25th, 2005, 3:40 am
Forum: Technical Forum
Topic: Extracting risk free rate and implied index value from ftse options
Replies: 7
Views: 147938

Extracting risk free rate and implied index value from ftse options

<t>HI,I have been stuck on this problem for some time,,I have a data base of ftse 100 options historical data. I would like extract the implied index and risk free rate for the data using put-call parity by running a regression on the put call parity for each day and maturity,, for each day I match ...
by Habib
May 25th, 2005, 3:38 am
Forum: Student Forum
Topic: HELP PLEASE !! implied dividend and risk free rate from options data
Replies: 1
Views: 147584

HELP PLEASE !! implied dividend and risk free rate from options data

<t>HI,I have been stuck on this problem for some time,,I have a data base of ftse 100 options historical data. I would like extract the implied index and risk free rate for the data using put-call parity by running a regression on the put call parity for each day and maturity,, for each day I match ...
by Habib
May 25th, 2005, 3:38 am
Forum: Student Forum
Topic: HELP PLEASE !! implied dividend and risk free rate from options data
Replies: 0
Views: 147521

HELP PLEASE !! implied dividend and risk free rate from options data

<t>HI,I have been stuck on this problem for some time,,I have a data base of ftse 100 options historical data. I would like extract the implied index and risk free rate for the data using put-call parity by running a regression on the put call parity for each day and maturity,, for each day I match ...
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