Hi, 
where I can find a euler discretization of Heston model with hurst exponent? thanks a lot
if you have a matlab code to simulate asset price paths is the best

My result for a multiperiod stoploss probability with alphastable distributuion

ok I find the mistake I think this is correct t=2 alpha1=pd.alpha; beta1=(t*(pd.beta*abs(pd.gam).^pd.alpha))/((abs(pd.gam.^pd.alpha))*t); gam1=t*((abs(pd.gam.^pd.alpha)).^(1/pd.alpha)); delta1=t*pd.delta; pd1=makedist('Stable','alpha',alpha1,'beta',beta1,'gam',gam1,'delta',delta1) y_scaling=pdf(pd1,...

this is the result of my code to scaling of alpha stable
It is wrong

%convolution for time scaling t=10 alpha1=pd.alpha; beta1=t*(pd.beta*abs(pd.gam).^pd.alpha); gam1=((abs(pd.gam.^pd.alpha))*t).^1/pd.alpha; delta1=t*pd.delta; pd1=makedist('Stable','alpha',alpha1,'beta',beta1,'gam',gam1,'delta',delta1) y_scaling=pdf(pd1,x_value) plot(x_value,y_scaling,'Color','g','Li...

I use alpha-stable only to calibrate my stop loss as ocam razor for trading. My stop loss distribution is the difference between alphastablepdf - alphastablepdf (x-2*K,p) where K=log(H/S) H stop loss S asset value. But I want to calculate multiperiod stop loss, so I have to scaling distribution. So ...

Hi, 
if I calibrate Alpha-Stable distribution on daily data or intraday data, how can scaling it in weekly o annual distribution?
How the 4 parameters are proportional to the time?
thanks a lots

In a situation of uncertainty, a fragile portfolio that survives has a fortune component that depends on the intensity of the drawdown, the velocity of drawdown and the reaction time to cut positions. I also think that tail events have a systemic component, so my recovery is also partly due to syste...

Incredibly after a year and a half of endless stress and a nervous breakdown I recovered 90% of my capital. I was involved in the Italian banking crisis with illiquid credit risk Some lessons I learned 1) use collateral to operate in normal markets is fine but not during uncertainties: it add levera...

Please can you explane me if this is a moving window drawdown or every window is separated each other? I usually calcultate the maxdrawdown in a window and than i move the window of one and i construct the distribution, is this the same thing?

because I m long futrures

I have sell ITM at 21000, and I sell 920 put in mean 24500, but I lost the premium....

Now 

000

Good morning,