Hi there, I have gathered the following information over some ETFs (in csv format as I can't seem to be able to insert tables): ETF,avg_ret,volatility,avg_daily_volume,max_dd,YTD_ret,SR_1Y,SR_3Y,alpha,beta,beta_week,pct_52w_last,Net Assets,Expense Ratio (net) BAR,10.10%,13.15%,"230,321",-1...

Great news, I am using Python

I found out more on the web on the Multivariate GMM, and indeed it is also fit for purpose!

Thanks a lot

PS : I wish Wilmott forum could have some ratings system / Thumbs up-down / +/-1 to be able to reward users, similar to stackoverflow... PW, are you listening?!

My bad, you are right, apologizes for that. Indeed I have just come across a nice presentation about Multivariate Kernel density estimation (http://www.buch-kromann.dk/tine/nonpar/Nonparametric_Density_Estimation_multidim.pdf) which would indeed correspond to what I am looking for! However, I am sti...

@outrun Thanks for your answer. Indeed I already had some exposure to Kernel density estimation. However if I am not wrong, this method and the ones presented above (BIC-based and Gaussian mixture) only focus on marginal distributions fitting.  In my case, I would like the focus to be on the joint d...

Dear Wilmotters', I would like to come up with a solution to measure the likelihood of two economical scenarios arising simultaneously. For instance, how likely it is that a drop in the S&P 500 will cause a drop in the WTI price? Of course, correlation is limited and would not fit for that purpo...

swskewgraph.gif How would determine the "bendy-ness" of the smile if you only have one point (ATM) ? Maybe not in the case of a single slice indeed, but in general if you have additional constraints on arbitrage-freeness of your whole surface, why not? Furthermore, the ATM level does not ...

How do you calibrate the SABR model if you have only ATM swaptions? Btw, in the current market situation (i.e. small rates / negative rates), if I had only ATM swaption vols, I would use a Hull-White with a piecewise constant volatility term structure model to extrapolate the vols. You have a close...

Hi all, I would like to price some non-ATM swaptions. Therefore, I need the appropriate Black-76 implied volatility for non ATM strikes. Assuming that I only have ATM swaptions implied volatilities from the market, is it possible (and sound) to calibrate a SABR model from these ATM quotes ONLY to in...

Hello everybody, I would like to price some caps using Black's formula (see eq (1.26) from Brigo & Mercurio bible Interest Rate models: Theory and Practice  or eq. 5 of the reference further below. Basically, pricing a caps boils down to price a strip of caplets (with the use of Black's formula)...