SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by ScilabGuru
November 5th, 2001, 10:19 am
Forum: Technical Forum
Topic: Paradox with perpetual barrier option
Replies: 152
Views: 198741

Paradox with perpetual barrier option

<t>Hmm? I havent really checked this out yet. But is this statement true? At least if you calculate the risk-neutral probability at any specific future time it should be only 50% (with r=0) that S will be higher than the present value. >>Lennart, now I am surprised. How do you calculate risk-neutral...
by ScilabGuru
November 5th, 2001, 8:52 am
Forum: Technical Forum
Topic: Paradox with perpetual barrier option
Replies: 152
Views: 198741

Paradox with perpetual barrier option

<t>Hi, everybody:I'd like to understand the following paradox:Consider a stock S with initial value, say A>0, and barrier B>A. Let V be an option paying 1$ when S(t) approachesB. Assume also that risk free rate is zero.Valuating this option via BS, replicationg portfoliomethod or arbitarge free tech...
by ScilabGuru
October 31st, 2001, 7:38 am
Forum: Technical Forum
Topic: Favorite Modeling Tools?
Replies: 18
Views: 191464

Favorite Modeling Tools?

<t>I am trying to determine the strengths and weaknesses of a few different tools used to model equations and pricing models in general. I have been very satisfied with Mathematica, although many a quant has waxed elo-quant about MATLAB. What do you think are their best points and what tool do you p...
by ScilabGuru
October 31st, 2001, 7:07 am
Forum: Programming and Software Forum
Topic: Mathematical and Statistical Software
Replies: 6
Views: 191651

Mathematical and Statistical Software

<r>There is a very detailed document comparing the performance of most popular packages (Mathematica, Matlab, Maple, Gauss, etc.), available at <URL url="http://www.scientificweb.com/ncrunch/">http://www.scientificweb.com/ncrunch/</URL> >>It is very methodical and serious document, I like it. Sure, ...
by ScilabGuru
October 31st, 2001, 7:03 am
Forum: Programming and Software Forum
Topic: Mathematical and Statistical Software
Replies: 6
Views: 191651

Mathematical and Statistical Software

<t>For example can anyone tell me how can i run Hansen's Generalised Method of Moments methodology? Or Johansen's cointegration? Can you propose any software for the above? Any problems with this tool?I hope you got the hint.RegardsAnthis >>Anthis, the mentioned by Scolar soft usually contains stand...
by ScilabGuru
October 23rd, 2001, 10:38 am
Forum: Technical Forum
Topic: Philosophy, Physics and Finance
Replies: 37
Views: 192450

Philosophy, Physics and Finance

<t>NumberSix, I liked your last message very much. I'd like to add some ideas from my experience. The general problem of Statistics/Econometric/finance is that ALWAYS there is no enough data.In Physics one can make a billion experiments to measure say gravitaion constant, and to get result with any ...
by ScilabGuru
October 17th, 2001, 12:26 pm
Forum: General Forum
Topic: Negative instantaneous rates and pathalogical world
Replies: 26
Views: 192727

Negative instantaneous rates and pathalogical world

<t>Yes, Araon I know your historical examples. However, I look at thesituation as a mathematician/quant rather than an economist. In yourexamples one can argue that this is a pathological situation andthe market behaves abnormally. My question is more like is there exists an ideal arbitrage-free pat...
by ScilabGuru
October 17th, 2001, 7:57 am
Forum: General Forum
Topic: Negative instantaneous rates and pathalogical world
Replies: 26
Views: 192727

Negative instantaneous rates and pathalogical world

<t>Hi, everybody:I have the following phylosofical issue/question. It is a common place to claim that instantaneous rates r_t=f(t,t) must be nonnegative, if we are working under arbitrage-free conditions.However, I did not find a formal proof of this claim. For instance, in "Financial Calculus" of M...
by ScilabGuru
October 16th, 2001, 2:25 pm
Forum: Technical Forum
Topic: power forward curves
Replies: 30
Views: 193693

power forward curves

<t>I am working now with a similar project (industrial implied forward curves) As I understand, you have to have a model:a)Pricing your security given a yield curveb) Real dataThus you can parametrically optimize your curve, using varios metrics:Two of them are obvious: 1. Residials in measured and ...
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