Deleting.

i found some work by Abraham Lioui in this direction but it does not talk about an explicit relation for forwards but fits the forwards from simulation which is what i am hoping to avoid.

yes, that is what i am doing. But to match forwards, i am having to fit some prameters in the affine process. whereas eariler, i could directly calculate those parameters from the simpler relation earlier. Now i am looking for a closed form relation similar to the above, to avoid the fitting.

<t>Hi all,Need help in defining an Equity model extending on Black-Scholes, where the dividends are stochastic. I would like to know if there exists any closed form relation for Forward values while dividends are stochastic. Even an approximate relation would do. In case of dividends not being stoch...

Why cant a random variable be a solution to SDE? SDE's have random variables as solutions right? Why isnt this equivalence true both ways?

<t>I have been dealing with the same doubt for quite sometime. I am trying to construct survival curves out of the quotes, but have not been able to pin point on the interpretation of the quotes.Fabes, another interpretation that seemed possible was, deal starting effectively on 20/09/2007 - means f...

Outrun,I think the method is the best possible of way of doing it. But the problem is that if the end values are significantly different from mean, that leads to a large error in the calculation of drift and subsequently the values of volatility. Anyway to address this problem?

That makes a lot of sense. Thank you very much for the prompt reply.

<t>Hi All,I need help regarding the problem I have in calculating the volatility of returns over a moving time interval of fixed length from price series at irregular intervals.Theoretically, according to lognormal assumption, the mean of returns willl be proportional to dt ((mu - (s.d.^2)/2)*dt) an...

<t>Hi All,I need help regarding the problem I have in calculating the volatility of returns over a moving time interval of fixed length from price series at irregular intervals.Theoretically, according to lognormal assumption, the mean of returns willl be proportional to dt (mean = (s.d.^2)/2)*dt) a...

Thanks Sanjay. Taking it one step ahead, what are the underlying variables i can vary to get scenarios for FX, as i mentioned will corresponding int rates do? or anything else i can vary alongside?

<t>Hi all,Need help regarding my work on estimating VaR for exchange rate products. Some of the issues regarding this are,1. How to generate various scenarios before coming up with VaR estimates? Which underlying variables are varied for this purpose? My guess the corresponding interest rate for two...

<t>Hi all,Need help regarding my work on estimating VaR for exchange rate products. Some of the issues regarding this are,1. How to generate various scenarios before coming up with VaR estimates? Which underlying variables are varied for this purpose? My guess the corresponding interest rate for two...

<t>Thank u very much wilhelmsson, for the info. 1 doubt though, The U-shape that you mentioned will come into play if i use the model to forecast for lets say next 10 min or 15min rather than 1 day. Do i still have to remove this effect if i am trying to find out the frequency at which the model can...

<t>Hi all,Well i am a newbie to this group. And I am currently using GARCH to estimate the volatility of NIFTY (India) with intraday data. I have a few doubts regarding my work.1.What is generally good time horizon to take as sample when i have a data as fine as multiple values for each second?2.Is ...