Thanks quartzThere was an error in the generation of the sobol sequences, my bad..

Any help about the difference between the results with Sobol sequences and Pseud-randoms ?

Thanks Chewwy, I'll check this out !

I have a pretty akward result, I'm getting different levels of VaR with Sobol sequences (-220kUSD) and with pseudo-random numbers (-310KUSD)Do you please see any possible explanation for this..Thanks.

Hi,Could you please explain more your idea?Thanks

<t>Hello,OK this might be a quite simple question for you...I'm performing a monte carlo to calculate value at risk (with a 3 dimension risk factor)Now, I would like to calculate the error of the estimation of the VaR with respect to the number of simulations (drawing a graph of estimation error wrt...

Hello guys,frenshX I creat my paths using: dX= K*(Theta-Path(j-1))*dt + Sigma*RandomNumber; Path(j)= Paths(j-1) + dX;

You think I should put constrains on the matrix K when maximizing the log likelihood of the parameters (K, sigma, theta, lambda) ? (I use the matlab function fminsearch)Thanks.

<r>Thanks FrenchX for your reply, but apparently the mean reversion matrix can hold negative values In this paper (page 19): <URL url="http://www.ssc.upenn.edu/~fdiebold/papers/paper78/cdr.pdf"><LINK_TEXT text="http://www.ssc.upenn.edu/~fdiebold/pape ... 78/cdr.pdf">http://www.ssc.upenn.edu/~fdiebol...

<t>Hello,I'm working on a three factor affine model (interest rates), while running monte carlo simulation to estimates the factors, I get weird values, they explode in time.I have a mean reversion matrix like this: K = -0.5640 -0.2851 -0.1757 5.2495 4.0835 0.1250 -5.5287 -5.0019 -0.0661Could it be ...

Thanks Weare, i'll look at it

<r>Hello everybody,I'm trying to calibrate AFNS model (christensen, Diebold 2011)<URL url="http://www.ssc.upenn.edu/~fdiebold/papers/paper78/cdr.pdfMeasurement"><LINK_TEXT text="http://www.ssc.upenn.edu/~fdiebold/pape ... easurement">http://www.ssc.upenn.edu/~fdiebold/papers/paper78/cdr.pdfMeasureme...

Any help please?