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<t>Why is it not possible to just run a simple OLS regression for each customer volume? Something along the lines ofp_t = a + b1*x_t + b2*y_t + b3*z_t + ewhere x,y,z might be p_t = customer balance at time tx_t = how long the customer has been with the bank up to time ty_t = amount of transactions d...

<t>Hi, I am doing pretty much exactly outrun is doing but I have a few questions:I will have access to data regarding- how long they have been a customer- how many deals they have made with our bank- how their savings account balance has fluctuated on a daily/weekly/monthly basis I am struggling to ...

Thanks Alan, I will look into it. Thanks frenchX, I guess it would be better to continue the conversation over there.

<t>I am looking for a way to model the behavior of customers of non-maturing deposits. Basically I want to hedge against the fact that customers of a bank can withdraw their money any time due to personal reasons i.e. immediate need of cash, purchase of a house etc. As you all know when someone depo...

never mind, found the error: forgot to put parentheses around the denominator in y2.

<t>Trying to price a typical standard barrier options with the following parameters:Standard barrier option, up and out call option:n = -1;phi = 1;S0 = 100;X = 100; (strike)H = 110; (barrier)r = 0.04;b = r;K = 0; (rebate)sig = 0.2;T = 0.1;I'm using the Reiner and Rubinstein formulas in Haug's Option...

Hi,Where can I find data on barrier options? I need data on barrier options and vanilla options where both have the same underlying. Would I find what I'm looking for in Bloomberg? Perhaps some older research where this kind of data has been used?

<t>No I am calibrating a set of parameters per maturity, i.e. for the i:th maturity I havealpha_i , beta_i, rho_i and nu_i. The consequence of this will be difficulties of pricing options with different maturities than the ones used to calibrate the model. I.e., let's say I have calibrated for T = 1...

<t>QuoteOriginally posted by: AlanRight, you can't. By defn, the implied vol at strike K will give you the vanilla price at strike K from the GBM formula.But, you can't get some exotic price by substituting implied vols into GBM formulas for the exotic. Common trader's mistake/wish Another thing tha...

<t>Okey so you mean that I cannot use the SABR_vol in the analytical expression for pricing barriers? The thing is, the main idea is to price barrier options through MC under SABR. I really don't need to make this comparison, I just thought I could do as the vanilla case. Anyway, what I could do is ...

<r>QuoteOriginally posted by: CuchulainnAre put prices also bad?What does deltaT = 50 mean (== NT?). You did not mention the values of the operating parameters.When alpha = 0 you get CEV problem and Euler method was very biased for call options.<URL url="http://www.wilmott.com/messageview.cfm?catid=...

<t>QuoteOriginally posted by: spursfanthis is a train-wreck waiting to happenyou should read around SABR before you start doing simulationshere's one paper you should read as a starthttp://ta.twi.tudelft.nl/mf/users/oosterle/oosterlee/SABRMC.pdfand I think you're being too ambitious to expect find u...

<t>Hi,I have calibrated the parameters of the SABR model to European Call Option (10 strikes and 10 maturities, i.e. 100 option prices). Then I implemented Monte Carlo in Matlab using the SABR approach defined as To check whether my Monte Carlo algorithm is good I decided to compare the MC-simulatio...

Well when you calculate the local volatility you assume one sport price while varying the maturities and strikes. I don't understand how the implied volatility can be a function of strike and maturity while the local volatility is a function of spot and maturity.