<t>Hi MuzzexThere is no BEST model.You should study the particular characteristics of the stock.For example,you could use a EGARCH if the is a strong skew in the returns. Sometime the less complicated models work better. The improvement made by more sofisticated models is too little, but it demands ...

<t>Hi ScottLike in the case of insurance company, the math models reduce uncertanty through the use of probabilities and expectation.But remember.... If you create today an life insurance company, there is a probability that all your clients die tomorrow so your company will be broke.So... the model...

<t>HiTo NI´m sure you are very smart and know a lot of things about differential geometry.I´m sure too that you can use theories with 11 dimensions to understand the big bang and particles dinamycs.But the financial prices... I don´t think so.A men sell stocks because an earthquake destroy all he ha...

If the matrix if for VaR porpouses, you should use Principal Components Analysis, so you can reduce the matrix dimension (risk factors).It works for correlated factors. The Carol Alexander paper: "Key Market Risk Factors" will help you

<t>Hi longvegaYou don´t ask about Stoch. Volat only for option pricing porpouses, right??Stoch Volat. is about assumptions. In Options pricing, Risk management, ... you make assumptions about prices behavior. Log Normal prices or anything else.Stochas Vol. correct (in many cases) the missmatch betwe...

Hi mdecSolver have many problems. Use a factor ( 100000) multiplying the errors.some time this increase the accuracy of the solution.www.solver.com Take a look to this add-in

<t>Hi The Cholesky descomposition on a matrix of correlation is used for creating correlated variables from series of uncorrelated variables.You need to:Create the 2 variables (uncorrelated. series or vectors)Create a correlation matrix using the coef. you need for you variables. [ 1 , coef ; coef ,...

<t>Hi ssdebThe MBRM software has a demo for multivariate GARCH. It´s in the derivatives module (an EXCEL spreadsheets).S-Plus uses BEKK for this porpouse, I never used s-plus but I read about it.I think the easy way is using "Principal components" to create an orthogonal base from the original syste...

<r>HI I founded this links on " calling Dlls from VBA"Take a look to this links.... I think are very usefullhttp://home.apu.edu/~jcox/Demos/vbanddll/vbanddll.htmhttp://<URL url="http://www.che.utexas.edu/cache/newsletters/spring2001_useofc.pdfhttp://www.canaimasoft.com/f90VB/OnlineManuals/UserManual...