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by Gracely
September 25th, 2003, 1:01 pm
Forum: Technical Forum
Topic: Option pricing on conditional implied distribution
Replies: 4
Views: 190424

Option pricing on conditional implied distribution

I used copula function to derive the conditional distribution. So the w(ST) looks like, say, w(DAX|EuroStoxx=-10%), where w is the conditional probability density function and -10% is the return of Eurostoxx.
by Gracely
September 25th, 2003, 12:29 pm
Forum: Technical Forum
Topic: Option pricing on conditional implied distribution
Replies: 4
Views: 190424

Option pricing on conditional implied distribution

Sort of. I have worked out the conditional distribution and have the final result. But it does not make much sense as it is conditional price rather than the real price. So I'd like to know if the whole procedure makes sense and how I can compare my result to the real price.
by Gracely
September 25th, 2003, 12:02 pm
Forum: Technical Forum
Topic: Option pricing on conditional implied distribution
Replies: 4
Views: 190424

Option pricing on conditional implied distribution

<t>HiSay I have derived the implied (risk neutral) distributions from, say, DAX and Eurostoxx options. Theoretically I can calculate the conditional distribution of DAX (conditional on Eurostoxx) using those implied distributions. Then calculate the conditional price of DAX call option using Cox and...
by Gracely
July 29th, 2003, 3:24 pm
Forum: Numerical Methods Forum
Topic: t-copula implementation issues
Replies: 52
Views: 221186

t-copula implementation issues

Hi StefanoneI would be much appreciated if you could email me your matlab code for t-copula. My email address is lanhuayu@hotmail.comKind regards
by Gracely
July 15th, 2003, 10:22 am
Forum: The Quantitative Finance FAQs Project
Topic: What are copulas and how are they used in quantitative finance?
Replies: 85
Views: 357026

What are copulas and how are they used in quantitative finance?

<t>Going back to CGumble1.85(0.91,0.958523)=0.90. This guarantees that we will always choose the points on the upper tail, where both u and v are close to 1. How about lower tail? Or other points that are unusual while one, either u or v, is usual? I am really confused about this 90% boundary issue....
by Gracely
July 15th, 2003, 9:17 am
Forum: The Quantitative Finance FAQs Project
Topic: What are copulas and how are they used in quantitative finance?
Replies: 85
Views: 357026

What are copulas and how are they used in quantitative finance?

<t>Thanks. Let's see if I get it correct - Assume Gumbel copula with theta 1.85, there is a 90% probability that v < 0.958523 conditional on u = 0.91. But why set u > C(u,v) = 0.91?If I want to build a contour plot for, say Gumbel copula, how can I do it? Correct me if I am wrong, but my original id...
by Gracely
July 11th, 2003, 12:13 pm
Forum: The Quantitative Finance FAQs Project
Topic: What are copulas and how are they used in quantitative finance?
Replies: 85
Views: 357026

What are copulas and how are they used in quantitative finance?

Any idea how we define the boundary within which say 90% of the time the joint movement lies? Thanks.