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June 13th, 2011, 4:47 pm
Forum: Programming and Software Forum
Topic: Matlab Function in Excel
Replies: 4
Views: 20335

### Matlab Function in Excel

I am using matlab 2010
June 13th, 2011, 3:54 pm
Forum: Programming and Software Forum
Topic: Matlab Function in Excel
Replies: 4
Views: 20335

### Matlab Function in Excel

<t>Hi,I have been able to install the excel link to use Matlab in Excel. But now I have a problem using those functions in my worksheets.Basically it recognise the values in the cells as a type CELL, and therefore I haven't been able to use any of the functions.For example, when I write in my cell: ...
May 19th, 2011, 7:43 am
Forum: Student Forum
Topic: Delta under Bachelier
Replies: 5
Views: 19951

### Delta under Bachelier

Yeah using the analytical solution, it does not give the same results.So I have changed my Monte Carlo, where I calculated [C(S+d)-C(S-d)]/[2d] , and that works.
May 18th, 2011, 1:41 pm
Forum: Student Forum
Topic: Delta under Bachelier
Replies: 5
Views: 19951

### Delta under Bachelier

<t>Hi All,I have been trying to find out the Delta of a Call Option on an underlying that follows the Bachelier Model. My problem is that when I increase my time to maturity or increase my volatility, I get a delta higher than 1. I have used the following Monte Carlo Simulation.I know it is a rather...
May 6th, 2011, 2:58 pm
Forum: Student Forum
Topic: Monte Carlo VAR
Replies: 1
Views: 19534

### Monte Carlo VAR

<t>Hi I would like to know if the following algorithm will lead me to the correct VAR.I want to find out the VAR on a call Option using the Bachelier model.Here is my Monte Carlo:- calculate current call option price- simulate the next day stock price and find out the call option price- Substract th...
May 3rd, 2011, 7:32 am
Forum: Student Forum
Topic: Seasonal PCA and Energy Prices
Replies: 1
Views: 20460

### Seasonal PCA and Energy Prices

<r>Hi All,I am trying to simulate the forward curve in the future on energy, using the current forward curve as an initial input.Due to seasonality, I have used a seasonal PCA, as described on the link below,<URL url="http://www.fea.com/resources/pdf/a_multi_factor.pdfBut">http://www.fea.com/resourc...
April 28th, 2011, 12:35 pm
Forum: Student Forum
Topic: Forward Prices and Mean Reversion
Replies: 1
Views: 20247

### Forward Prices and Mean Reversion

<t>Hi All,I have read in Haug's book, the chapter on Commodity and energy options, that mean reversion is already taken into account for in the forward price.Does that means that if I want to model the forward price of a contract, I do not need to include mean reversion?I do understand mathematicall...
April 18th, 2011, 7:01 pm
Forum: Student Forum
Topic: Pricing with Normal Returns
Replies: 1
Views: 19163

### Pricing with Normal Returns

<t>I am pricing the spread of two commodities, and the return of the spread exhibit normal returns, I am not sure what is the dynamic of the spread.Here is what I did, it would be great if you could correct me if I am wrongThe price of the spread doesn't reflect a normal distribution but the normal ...
April 18th, 2011, 10:31 am
Forum: Student Forum
Topic: How to know if the model fit the data?
Replies: 3
Views: 20963

### How to know if the model fit the data?

<t>Hello,It may sound a bit stupid, but I didn't learn at university how to check if a model fits the data we want to model.I know that we have to know well our assumptions, weaknesses and strengths of the models, but how technically or quantitatively do we check if my model fit the data, that I wan...
April 15th, 2011, 5:09 pm
Forum: Student Forum
Topic: Volatitility Problem
Replies: 2
Views: 19352

### Volatitility Problem

Hi,Thanks a lot for the answer. That's what I thought, I just took the standard deviation of the return over the two months. I thought there would be a way to do it, maybe finding the level of correlation between the two months and doing something like:
April 14th, 2011, 7:45 am
Forum: Student Forum
Topic: Volatitility Problem
Replies: 2
Views: 19352

### Volatitility Problem

<t>Hi All,I have the following problem, that I can't solve, although it might be very very basics.Suppose we have the historical annualised volatility of March and the historical annualised volatility of April.How could one get the volatility of March to April, just having those 2 volatilities?Do I ...
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