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by hedgefinan
July 13th, 2011, 3:42 pm
Forum: General Forum
Topic: Implied Volatility from bloomberg
Replies: 2
Views: 21498

Implied Volatility from bloomberg

Thank u a lot
by hedgefinan
July 12th, 2011, 4:07 pm
Forum: General Forum
Topic: Implied Volatility from bloomberg
Replies: 2
Views: 21498

Implied Volatility from bloomberg

<t>Hi all,could I have please your help regarding the stock implied volatility from bloomberg.I use the functions 3MO_CALL_IMP_VOL and 6MO_CALL_IMP_VOL to take the 3-months and 6-months implied volatilies, respectively.My questions is: are the numbers of the implied volatilities that bloomberg provi...
by hedgefinan
October 13th, 2008, 5:26 pm
Forum: Technical Forum
Topic: Conditional Bivariate Gaussian
Replies: 1
Views: 47749

Conditional Bivariate Gaussian

Hi,Is there any matlab code that estimate the conditional bivariate normal distribution?Thanx
by hedgefinan
September 20th, 2008, 9:43 am
Forum: General Forum
Topic: Question for Copulas estimation
Replies: 8
Views: 52461

Question for Copulas estimation

<t>I will describe you step by step my whole methodological aproach, and then please tell me about my mistakes or make me some comments:1. I fit 3 different GARCH models assumed either normal, t-student, or skewed student-t distribution for the innovations.2. I standardized the residuals using the c...
by hedgefinan
September 20th, 2008, 7:51 am
Forum: General Forum
Topic: Question for Copulas estimation
Replies: 8
Views: 52461

Question for Copulas estimation

<t>Ok, a choice is to tranform the standardized residuals (from the GARCH process) to uniform variables using the Cumulative Distribution Function (CDF). In literature, I have seen to use other methods like:- second-order gaussian kernel density function or- or the t-student CDF if we assume t-stude...
by hedgefinan
September 16th, 2008, 6:59 am
Forum: Technical Forum
Topic: Portfolio
Replies: 3
Views: 48711

Portfolio

I think that it is normal when you change significant the inputs to change the outcome.
by hedgefinan
September 16th, 2008, 6:56 am
Forum: Technical Forum
Topic: simple!!
Replies: 7
Views: 48967

simple!!

<t>Thank you very much for your replies. I will check your interest proposals to solve my simple problem.Now for a array of strings I use the following that it seems to work:[t k] = size(data);copula_type=['claytonCL';'claytonCL';'claytonCL';'claytonCL';'frankCL ';'frankCL ';'frankCL ';'claytonCL';'...
by hedgefinan
September 12th, 2008, 5:15 pm
Forum: Technical Forum
Topic: simple!!
Replies: 7
Views: 48967

simple!!

<t>Hi all,I try to put the elements of a vector to the upper triangular of a matrix using MATLAB. Please, could someone help me? Especially, I want to convert the vector Y = [1 2 3 4 5 6 7 8 9 10 11 12 13 14 15] to a symmetric matrix 0 1 2 3 4 5 0 0 6 7 8 9 0 0 0 10 11 12 0 0 0 0 13 14 0 0 0 0 0 15t...
by hedgefinan
September 12th, 2008, 4:38 pm
Forum: Programming and Software Forum
Topic: Stability of estimated parameters
Replies: 7
Views: 49701

Stability of estimated parameters

<t>First, Thanks for all your response to my questions.Here my problem is not the multi-dimensional problem. Contrary, the Vines method defines a multivariate joint distribution by simply adding bivariate distributions.But, in the context of a bivariate estimation I see that my final estimations are...
by hedgefinan
September 12th, 2008, 1:59 pm
Forum: Programming and Software Forum
Topic: Stability of estimated parameters
Replies: 7
Views: 49701

Stability of estimated parameters

<t>it could be a good choice but I am not familiar with Bayesian methods. Moreover, the overall problem I have to solve is computational complex, since, I try to estimate a multivariate copula model using the method of 'vines'. Thus, I dont know if I could cope with the computational task adding MCM...
by hedgefinan
September 12th, 2008, 12:56 pm
Forum: Careers Forum
Topic: Hedge fund bubble. Am I late?
Replies: 11
Views: 50204

Hedge fund bubble. Am I late?

I agree, but, do you know the base-salary for a young person with university degree (sometimes plus a master degree) that banks pay in many European countries?Gross salary = 1.100 euros per months * 12 months=...!!!!
by hedgefinan
September 12th, 2008, 9:11 am
Forum: Careers Forum
Topic: Hedge fund bubble. Am I late?
Replies: 11
Views: 50204

Hedge fund bubble. Am I late?

<t>The fact is that I am from Europe, and for youngs without previous strong experience in financial industry a salary of 100 thousand EURO per year, is a dream. Now I am a PHD candidate, if you would find me a job with 100 thousand per year I will give you 20 thousands per year for the first three ...
by hedgefinan
September 12th, 2008, 7:06 am
Forum: Careers Forum
Topic: Hedge fund bubble. Am I late?
Replies: 11
Views: 50204

Hedge fund bubble. Am I late?

When I refer to good salaries, I mention the recent published positions that offer a remuneration of about 100k-150k per year.
by hedgefinan
September 11th, 2008, 1:19 pm
Forum: Trading Forum
Topic: Lehman
Replies: 57
Views: 61432

Lehman

We see that every month, negative news come in light about banks that their main activities are close related with alternative investments and hedge funds. We turn to passive management again?
by hedgefinan
September 11th, 2008, 1:13 pm
Forum: Careers Forum
Topic: Portfolio Manager ???
Replies: 18
Views: 50427

Portfolio Manager ???

which is your opinion about the Chartered Alternative Investment Analyst offered by the CAIA
GZIP: On