<r>Hope this helps...<URL url="http://econpapers.repec.org/article/eeeempfin/v_3a11_3ay_3a2004_3ai_3a2_3ap_3a277-308.htmIn"><LINK_TEXT text="http://econpapers.repec.org/article/eee ... -308.htmIn">http://econpapers.repec.org/article/eeeempfin/v_3a11_3ay_3a2004_3ai_3a2_3ap_3a277-308.htmIn</LINK_TEXT>...

Would you send me a copy?weareda@dreamwiz.comThanks in advance!!!!

Would you please?....weareda@dreamwiz.comThanks in advance...

<t>I'm afraid whether you understand my POOR English.One of the stylized facts of non-stationary timeseries is mean variation which means that partial sample meansof different(or overlapped) time period are different, (i.e., vary).This is represented by the unit root or random walk component.The lim...

<t>Cointegration is independent with mean reversion...Mean reversion implies variating mean.Stationary time series do not have 'variating mean'.'Variating mean' is a typical property of non-stationary time series...In time series domain, they say it 'trend reversion'.Some practitioners including a f...

Hi....Pat...would you please..?.....weareda@dreamwiz.comThanks in advance...

The determinants of empirical (estimated) correlation matrix is always not less than zero.Negative determinants are cuased by (the computer or the software) round-off error.

<t>The variance-covariance matrix must have a PSD(Positive Semi Definite) property....but if all off-diagonal elements are negative, the matrix looses the PSD property...the property may be simply verified by calculating the determinant.For example, consider a group of random variables having identi...

me too, please....weare@npricing.co.kr

<t>The characteristic equation from your estimation result is .9B^2 +B +1 = 0 where B is backshift operator. Since the discriminant of the equation is less than zero, B has imaginary roots. This means that the underlying time series has seasonal component. In this case one should consider seasonal l...

<t>But TARN has no optionality. It only has the special stopping rule....Rately I have priced dozens of structured notes. Among them, there exist some TARNs and my simulation results say that it is profitable to buy them...What I am anxious to know is the sellside hedging method.Do the sellers dare ...

Thanks for short comment....eiriamjh....Then...how TARN buyers manage to make money?....

Is there anyone who can explain the hedging scheme for TARN?Or how do the issuers make money?Thanks in advance!!!

Using the certainty equivalent formula....1/(1+Rf+CS)^T = (PD*RR +1-PD)/(1+Rf)^T where PD: Risk-Neutral Probability of Default, RR: recovery rate, CS: credit spread, Rf: Riskfree ratePD = (1 - ((1+Rf)/(1+Rf+CS))^T)/(1-RR)

<t>The fundamental certainty equivalent expression for credit spread is1/(1+rf+CS) = (PD*R + 1-PD)/(1+rf) 1-year case1/(1+rf+CS)^n = (PD*R + 1-PD)/(1+rf)^n n-year casewhere rf: riskfree rate, CS: credit spread, PD: default probability, R: recovery rateBy some manipulation gives,CS = (1+rf)(E^-(1/n)-...