Hi all!I thank you very much everybody for all your precious advices!RegardsManu

<t>Hi AllI have 2 years and an half of working on a prop trading firm. I was hired as software developer for developing a trading platform in C++. After that project and at the end I didn't mature the business knowledge of the trading job.I did study basic of trading, but without developing any trad...

<t>Hi daveangelyou are right and sorry for the bad sentence.By the way I did really mean btrees where I might have volatility changing..intra day or across trading days.Is there any advanced btree used that is worth to have a look at?The more I dig and the more I find tons on papers on the subject.L...

<t>Hi David JNI thank you for your response and it is now clear that the volatility is the variable that has the major impact on the tree because it is used to calculate 'u' and 'd'. I have a point about it: Hull uses a btree with a volatility assumed constant but I might think some scenarios where ...

<t>Hi AllI am studying binomial trees on Hull ( 7th edition, ch. 11 ) as a way of pricing my options.In the chapter I see in the first example 2 data are given : the 2 expected/possible prices for a stock after 3 months ( stock might end at $22 or stock might end at $18 ).My simple question ( I am n...

<t>P.S. I am really newbie. My question was more focused NOT on the modeling of the intraday trade prices (where other things like microstructure come to play), but more on the fact that the time series is not equally spaced in time. In this case what can I do? I read something that sounds like usin...

<t>Hi AllI am trying to apply right now GARCH model to my time series of trade prices, but this last is not equally spaced in time since it comes from intraday trades.What to do?Can I use it anyway substituting the time series with one having more samples like the sample below?EXAMPLE:Original Time ...

<t>Hi allFor my Monte Carlo simulations I used as stock price model a geometric brownian motion dS(t)=r S(t)dt + vol S(t) dZ(t) with r constant. These days I am learning about Vasicek and other models for interest rate. Do you know if it is correct to embed this interest rate models into the r of th...