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Grunspan
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Rogers Veraarts

June 23rd, 2009, 1:09 pm

Hi all,Has someone ever tried to implement their model?http://www.statslab.cam.ac.uk/~chris/pa ... chvol1.pdf As far as I am concerned, I experience numerical problems in computing the integral in the formula (11) page 10 (SV2 model). When I am far from the money, I get bad prices (below the intrinsic value or higher than the forward price). It's too bad because the model seems to be nice...
 
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Grunspan
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Rogers Veraarts

July 2nd, 2009, 4:31 pm

 
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Grunspan
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Rogers Veraarts

July 2nd, 2009, 4:31 pm

up
 
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Grunspan
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Rogers Veraarts

July 9th, 2009, 8:18 am

 
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Grunspan
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Rogers Veraarts

July 22nd, 2009, 7:52 am

 
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Grunspan
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Rogers Veraarts

August 24th, 2009, 2:09 pm

 
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Grunspan
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Rogers Veraarts

October 12th, 2009, 8:34 am

 
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Grunspan
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Rogers Veraarts

November 2nd, 2009, 9:48 am

 
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Grunspan
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Rogers Veraarts

November 5th, 2009, 2:10 pm

 
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Grunspan
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Rogers Veraarts

November 17th, 2009, 11:24 am

 
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trackstar
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Rogers Veraarts

November 17th, 2009, 1:30 pm

Very nice, outrun!If the OP was interested in unicorns, there is some useful information here:Man and His SymbolsSee page 3, if you view posts in chronological order.You need to find a virgin in order to catch a unicorn.
Last edited by trackstar on November 16th, 2009, 11:00 pm, edited 1 time in total.
 
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trackstar
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Rogers Veraarts

November 17th, 2009, 1:43 pm

If your requirements are a bit flexible, it is easier to catch Pegasus.You need a strong young man who can ride him, but he needn't be a virgin. Good luck with the mosquito though.
 
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Traden4Alpha
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Rogers Veraarts

November 17th, 2009, 1:45 pm

QuoteOriginally posted by: outrunThanks Trackstar! There is a mosquito in the office here, I think it's virgin by the sound of it, I'm going to catch it and use if for my unicorn trap...This could be very interesting experiment in analogical mythology! Existing evidence: virgin human females attract a one-horned species of horse. Hypothesis: a virgin female mosquito (a type of fly) will attract a one-horned species of horsefly. Please, keep us posted on the results of your investigation.