<t>I guess if you are looking at synthetic term structures, you can look short the stock and the invest the money from the stocks in a MM at the rate that you require. At settlement you liquidate the position and then buy back the stocks. I guess it may be a simpler version of what you are tyring to...

I meant returns. Prices obviously has to be in the positive territrory.

<t>One more question. There was option volatility used in Black Scholes Option Pricing Model which uses log normal distribution for the possible prices that can be predicted. Do you think this assumption is fair? The prices can be positive or negative for underlying asssets. What happens to models w...

<t>Why do we always use Normal Distribution when explaining Concepts or equation for Asset Pricing or Risks. What is the fundamental use of using a Distribution and "Normal" Distribution. There are people use "Log Normal" Distribution and there are Cumulative Standard normal distribution. Could some...

Send me your email id and I can forward you the derivation. CheersArun

<t>I was looking at time t=1 which is the end point what numbers I am getting. So if I get the last coloumn I know what final values were and then based on those Values I can create a distribution and see if they follow the bell curve shape or are they very different. When you run the rand function ...

<t>I have got the values written down as this. Do you think it makes sense? Can you see any errors in this. corr(W(t),W(t+s)) =(E(W(t)W(t+s)) - E(W(t))E(W(t+s)))/sqrt(var(W(t))*sqrt(var(W(t+s))=(min(t,t+s)-z^2(0)-0)/sqrt(t)*sqrt(t+s) since E(W(t))=0, and let z(0)=0=t/sqrt(t)*sqrt(t+s) since t>=0 and...

I still get the same error. Simulations: 1000Points per path: 100??? In an assignment A(I) = B, the number of elements in B and I must be the same.Error in ==> f:\xxbb.mOn line 39 ==> xn(i) = xn(i-1) + adt*xn(i-1) + vol.*xn(i-1)*randn(1,1);

I get this error..

Then how can you prove the following property of Brownian Process?Corr (W(t), W(t+s)) = sqrt (t/(t+s)). when t and s >=0

<t>Hi, I am trying to Simulate a Wiener Process. But I am not able to generate a Proper Distribution of the code. I have a working code of Matlab but I am not sure what is going wrong here. I have x(0) = 1 , mu(x,t)=mu*x, sigma(x,t)=sigma*x and T=2 so that x(t) is a geometric Brownian motion of the ...

<t>I have random numbers that I have generated using the rand function. Mean = 0 and Sigma is 1. I need to simulate around 100 steps for wiener process. I need around 1000 Paths to simulate. Once the distributions are created I need to distribute over the interval 0 and 1. I tried to create the rand...

<t>I have the following code in Matlabx=rand(1000,100) % Generates Random number for 1000 x 100y=((1:1000)*10) % define the values that we want to extract from the matrix.lst=x(y) % This is the list of numbers at time T.Not sure how to create a Normal Graph of this range with Gaussian Distribution.a...

<t>Hi, I am new to Matlab and I am trying to generate a Random Numbers using Box Muller or something similar. I am able to generate the list of 1000, 1000 random numbers using rand (1000,100). I need to take the last element of each of these coloumns and then generate a list of these 1000 entries. U...

<t>I would say that when calculating VAR you may need to keep a reference currency. What I see here is that you have two commodities i.e. Gold and Foriegn Exchange that you are trying to calculate the Risk for. So I guess as we have volatility for Gold Prices there would be some measure of volatilit...