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

<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...

- April 21st, 2008, 4:02 am
- Forum: Student Forum
- Topic: Quantile Regression
- Replies:
**5** - Views:
**56259**

<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...

- January 21st, 2008, 11:47 pm
- Forum: Student Forum
- Topic: Neural Network in Finance
- Replies:
**4** - Views:
**60143**

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

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

<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 ...

- August 23rd, 2006, 10:42 pm
- Forum: Student Forum
- Topic: European Option ,, delta hedging ( SIMPLE QUESTION)
- Replies:
**2** - Views:
**94672**

Thank you for your reply,,I will give that a try... definitely,, That was the payoff at expiry !!! ( was a careless mistake !!!!)Thanks again

- August 23rd, 2006, 3:34 am
- Forum: Student Forum
- Topic: European Option ,, delta hedging ( SIMPLE QUESTION)
- Replies:
**2** - Views:
**94672**

<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...

- December 5th, 2005, 11:51 pm
- Forum: Student Forum
- Topic: Implied volatility
- Replies:
**3** - Views:
**128381**

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

- December 4th, 2005, 9:38 pm
- Forum: Student Forum
- Topic: Implied volatility
- Replies:
**3** - Views:
**128381**

<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,...

- 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**

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?

- 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**

Sorry the exuation should be ,C- P = (S0 - D) -Xexp(-tr)

- 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**

Sorry the exuation should be ,C- P = (S0 - D) -Xexp(-tr)

- 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**

<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 ...

- 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**

<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 ...

- 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**

<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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