works just fine! thank you very much!

<t>hello. i have a simulation question: how would you simulate the trajectories of an asset, for example SPX, where the start price is known, the ending price is known and the targeted volatility of the simulated trajectories is known as well. The thing is that all trajectories must finish at a spec...

<t>Hello,I have been looking at consumption options (or timer options in some french banks). They are basically standard call/put option, the only difference is that you set a pre-defined variance budget for the underlying. If your underlying delivers the variance budget earlier than the maturity, t...

hi lawho, here is the second article you're looking for.Take care, Nicolas

<t>I think STATA can be good to solve specific problems that might arrise with specific datasets such as an anlysis of census data (where the number of observations goes easily above 10e6). But it's underlying language philosophy is pretty weird to me (C++ & matlab usually) and very user not fri...

<t>S-plus is definitely above every other software that has been mentionned here in terms of built in, and also in terms of interactivity with excel.However, if your issue is only to run probit/logistic regressions, and that you are not planning to link your statistical software to any other applica...

<t>In my experience, I've been able to improve by 5 times the speed of an highly optimized (vectorized code, all variables declared in matlab) code when compiled with the 1.2 version of compiler.As mentionned in the first post, it's almost impossible to beat the matlab implemented routines.One issue...

I would suggest to browse the sci.stat.math newsgroup.

The Paris based desk of Axa should be in top ten

by pointing to the blp, it worked then on my side.

I had the same issue a while ago. Either DDE Server from bbg is not running, or you have to point Splus to the location of DDE server.

Anneso, you should have a look at a paper written by Andrew Lo, in which he tries to explain serial correlation in hedge funds returns by various factors, one being illiquidity of underlyings.Lo's page

I have a scan of the league table but it's too heavy for the forum. If you give me your email, i'll mail it to you.Nicolas

I would suggest also William H Greene "Econometric Analysis" which covers maybe a bit more than Kennedy's book.

<t>The second one gives you a better understanding on how to apply KF in a wide range of fields. However, if you want to have a good theory book + some applications, you should also consider "Forecasting, Structural Time Series Models and the Kalman Filter" (Andrew C Harvey), which is a valuable ref...