- August 9th, 2004, 11:00 pm
- Forum: Student Forum
- Topic: question about R software
- Replies:
**2** - Views:
**178657**

Does anyone know how to program a function that contains an integral inside for the optimization package in R?So far, I was really unlucky in these forums, and have not received a single answer for any of my questions This is the last attempt...Thanks in advance,Siberian

- July 28th, 2004, 4:09 pm
- Forum: Student Forum
- Topic: paper on stochastic calculus
- Replies:
**6** - Views:
**181206**

tell me about it!!!!

- July 28th, 2004, 4:05 pm
- Forum: Student Forum
- Topic: basic q
- Replies:
**1** - Views:
**180143**

<t>mathematically speaking, a closure of the subset A in a linear/topological space is a set of all limit points of sequences in A. For example the closure of Q - rational points, is R - set of real points. If you are talking about L2 the space of all the functions that are square integrable, then w...

- July 28th, 2004, 3:38 pm
- Forum: Student Forum
- Topic: Econometrics question
- Replies:
**0** - Views:
**180181**

<t>Hello everyone, I was wondering if anybody knows how does the sample smoothing works with Epanichnikov kernel. NOT PDF ESTIMATION with kernel!!! I need to shift the sample or to smooth the sample before applying some estimation procedures. Any help will be greatly appreciated.ThanksQuote"Markets ...

- March 21st, 2004, 2:31 am
- Forum: Student Forum
- Topic: Easy question on Binomial distribution
- Replies:
**4** - Views:
**189245**

<t>Bernoulli random variable is the on-off r.v. that takes on values one or zero. A probability function on that variable is supposed to map a set of outcomes to the [0,1] interval with the property that it integrates/sums up to one over the entire set of outcomes. If it does not, than it is definet...

- March 4th, 2004, 3:50 am
- Forum: Student Forum
- Topic: A probability question.
- Replies:
**29** - Views:
**191265**

<t>I have not thought much about it, but in order to really appreciate the beauty of combinatorics we could try to boil it down to something like that: consider the 25 sample size. What we are looking for are all possible solutions to the equation sum(x(i))=25, i=1:10, x(i) \leq 5. These are all the...

- February 18th, 2004, 3:09 am
- Forum: Programming and Software Forum
- Topic: Matlab simple american option pricing model
- Replies:
**6** - Views:
**190181**

PRICELESS!!!Thanks very much indeed!

- February 18th, 2004, 3:06 am
- Forum: Student Forum
- Topic: Binomial trees in Matlab
- Replies:
**2** - Views:
**189190**

thanks very much!!!

- February 8th, 2004, 3:00 am
- Forum: Programming and Software Forum
- Topic: Matlab simple american option pricing model
- Replies:
**6** - Views:
**190181**

<t>I am trying to do pretty much the same thing, except I need tree for modelling interest rate movements for pricing some bonds. I noticed that you are talking about an in-built function in Matlab? I have a 6.0 for Linux, and I am not sure if I have it. Would you be able to point me at least where ...

- February 8th, 2004, 2:39 am
- Forum: Student Forum
- Topic: Binomial trees in Matlab
- Replies:
**2** - Views:
**189190**

<t>Does anyone know the procedure for building a binomial (recombining) tree in Matlab. Primarily for Black Derman and Toy interest rate modelling.Thanks a mil in advance"Markets can stay irrational much longer than you can stay solvent" J. M. Keynes </t>

- August 2nd, 2003, 1:06 pm
- Forum: Student Forum
- Topic: Testing the price dynamics described by O-U process
- Replies:
**2** - Views:
**189340**

<t>This is an empirical OU process, whith T_(t+1)-T_t=kappa*(mu(T_t)-T_t)1/365+sigma(T_t)1/(sqrt(365)*Z_t, where mu(T_t) and sigma(T_t) are temperature normal and variance functions arising from empirical testing and Z_t ~N(0,1). It seems to me that the primary idea is to obtain empirical kappa whic...

- August 1st, 2003, 7:36 pm
- Forum: Student Forum
- Topic: Testing the price dynamics described by O-U process
- Replies:
**2** - Views:
**189340**

<t>Hi, first time poster, hoping someone might help. I need to find the ways to estimate the speed of mean-reversion (kappa) from the Ornstein-Uhlenbeck process. Later on I would like to be able to test the price dynamics based on this process. My supervisor is on vacation and I am sort of drowning....

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