Hi daveangel,thanks.But do you know whether does data before 2003 exist and eventually where can I find this data?

<r>Hello,I have a simple question about data availability.at:<URL url="http://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=realyieldAllyou"><LINK_TEXT text="http://www.treasury.gov/resource-center ... ieldAllyou">http://www.treasury.gov/resource-center/d...

<t>Hi,assume I have a time-series which describes the frequency of an event in a given time interval.e.g. [$]\{Y_t\}_{t=1,2,\ldots}[$] says that in the year [$]t[$] the frequency of the event is [$]Y_t\in(0,1)[$].Now assume that I want to model event process in continuous by a Poisson process with t...

Hi mauddibthanks a lot for your reply. I'm going to think about it!

<t>So my intuition is that we can interpret [$]A1 - A2[$] as a variance of [$]h(t)[$] over the support [$](0,T1)[$] and density given by [$]e^{g(t)+z\, h(t)} / \int_0^{T1} e^{g(t)+z\, h(t)} dt.[$]Similarly, we can interpret [$]B1 - B2[$] as a variance over the support [$](0,T2)[$].Moreover we can in...

<t>Hi,I want to find the sign of [$]\partial_z (\partial_z \log F(T1) - \partial_z \log F(T2) )[$]where [$]T1<T2[$] and[$]F(T) = \int_0^T e^{g(t) + z\, h(t)} dt[$]You can interpret [$]F()[$] as an asset price, [$]T[$] as a maturity and [$]z[$] as a latent factor but it is not really important.All we...

<t>Hi,I don't have a sense of how much uncertainty practicioners would accept in real-world applications of financial models.Let's consider a simple example. Denote with x the expected return on an asset. This can be an input of either a simple Markowitz model or a super complicated model.In both ca...

<t>Hi,I need some help with a math question. Probably it's a silly question but today math and I are not friends...To give you economic intuition I'm interested into the sign of the elasticity of two prices with respect the same underlying variable. The two prices are associate to assets with differ...

Can you tell me more about those seasonal tendencies, please?

<t>Thanks Alan.Tagoma (and Alan and everybody): I'm studying a model which envolves the computation of higher order moments of underlying returns as well as the Breeden Litzenberger formula (ie getting state-prices from option prices).Now, in order to compute higher order moments with sufficient sta...

<t>Hi,I would know for which underlying assets we have the longest time-series of data on put / call option prices.I guess the longest is the SP500, isn't it? whence do data start?Assume I want to build a portfolio of options on say 5 or 10 underlying assets which are quite liquid and with a quite l...

<t>Hi,my memories about stoch. calculus with jumps are quite weak, so I have a simple question.Assume a process of the kind:[$]d x_t = -a x_t dt + J_t dN_t[$]where[$]J_t[$] is an iid r.v. and [$]N[$] is Poisson with intensity [$]\lambda[$].Now, consider a simple transformation: [$]Y =\exp(m + q x)[$...

Thank you, Alan.My code works with:NIntegrate[ f[ i x], {x, i c-Infinity, i c + Infinity}]where c is a constant > 1 and infinity is substituted by a number large enough.

<r>Hi all,there is a number formulas which exploit Fourier transforms in order to price derivatives.I'm interested into an application of Lewis (2000) reported in the paper below in Eq. (3.10) and (3.13):<URL url="http://finance.wharton.upenn.edu/~ishal/papers/cj.pdfIn">http://finance.wharton.upenn....

Thank you Alan I forgot dt and I used z but I was meaning q. However, now you've fixed my doubts.