## Top new questions this week:

I am pricing an American call under the CGMY model ($0 < Y < 1$) with strike $K$ at grid point $(x_i,\tau_j)$ where $x_i=x_{min}+i\,\Delta x$ for $i=0,1,...N$ and $\Delta ... american-options cgmy-model  asked by Behrouz Maleki 7 votes ### Reflection Principle Let$(\Omega,\mathcal{F},P)$be a probability space and$\{W_t ∶ t ≥ 0\}$be a standard Wiener process. By setting$\tauas a stopping time and defining \begin{align} ... stochastic-processes wiener  asked by John kent 6 votes  answered by Behrouz Maleki 2 votes ### Are there references about liquidation, transaction, market impact costs in portfolio optimization I am looking for some references treating of what I would call liquidation cost market impact cost transaction cost(*) in the usual "portfolio optimization problem under linear constraints". Let ... portfolio-management optimization portfolio-optimization market-microstructure  asked by statquant 6 votes ### If I have found a way to predict stocks trend with 58% accuracy, is it good? Say I have found a way through technical analysis to predict how stocks would behave with 58% accuracy, how good is this percentage? equities trading exchange  asked by Marina Dunst 6 votes  answered by vonjd 3 votes ### Boundary Condition for Convertible Bond under Two-factor Model Interest Rate I want to find Boundary conditions for Convertible Bond under Two-factor Model Interest Rate.The portfolio contains stock where stochastic differential equation for the stock price is \begin{align} ... options interest-rates bond  asked by Joe fritz 5 votes  answered by Behrouz Maleki 3 votes ### good R package for vectorized option pricing I am using for now the package fOptions but it doesn't allow for vectorized computation of black76 prices and delta. Which package can be used to do that? As noted by @Richard, I could use lapply, ... options option-pricing black-scholes r black76  asked by RockScience 4 votes  answered by RockScience 3 votes ### Extended CIR and discretization Did someone know how to discretize this process efficiently :dX(t) = \kappa [\theta(t)-X(t)]dt + \sigma \sqrt{X(t)}dW(t)\$ I am looking for something more sophisticated than the trivial Euler ...

stochastic-processes simulations hullwhite

## Greatest hits from previous weeks:

### Kalman Filter Equity Example

I am looking out for some material where I can study about Kalman Filter applied to Equity using Excel or R?

statistics r quants kalman

### How to fit ARMA+GARCH Model In R?

I am currently working on ARMA+GARCH model using R. I am looking out for example which explain step by step explanation for fitting this model in R. I have time series which is stationary and I am ...

time-series statistics r

### The difference in sign bias test in detecting the exist of asymmetric effects and the adequacy of symmetric GARCH model.

The question is that I want to know whether there is difference in the applying of sign bias test in detecting the exist of asymmetric effects and the adequacy of symmetric GARCH model. In the ...

garch

### Fitting High Frequency Indicators

I have a high frequency time series of the bid and ask prices of a stock recorded on every tick. For each data point I also have a certain indicators that predict the future movement of the price. The ...

optimization high-frequency modeling