R - 随笔分类 - sophhhie

【Stefano M. Iacus】Racon-Nikodym Derivative and MC

摘要：1. Task: Use MC to estimate EY using 100000 replications and construct 95% CI (P(|Z| < 1.96) ≈ 0.95, i.e., 95% of time EY in this interval, e.g., Z = 阅读全文

posted @ 2020-04-06 22:21 sophhhie 阅读(187) 评论(0) 推荐(0)

Derivative Pricing_3_Dynamic (two stochastic bg)

摘要：1. Two-dimensional Wiener Process dS1 = r·S1·dt + σ1·S1·dW1 ; and dS2 = r·S2·dt + σ2·S2·dW2 Solutions: St = S0·exp[(r - σ2 /2 )·t + σ·Wt] 1.1 No Corre 阅读全文

posted @ 2020-03-20 03:13 sophhhie 阅读(138) 评论(0) 推荐(0)

Time Series_4_Volatility

摘要：1. Cointegrated VAR and Vector Error Correction Model (VECM) 1.1 传统VAR要求variables是stationary，实际上不同股票会被同样基本面驱动。若按常规，在cointegrated series的背景下use first d 阅读全文

posted @ 2020-03-19 00:09 sophhhie 阅读(489) 评论(0) 推荐(0)

Time Series_2_Cointegration and VAR

摘要：1. Cointegration n×1 vector yt of time series is cointegrated if each series individually integrated in the order d (d = 1, nonstationary unit-root pr 阅读全文

posted @ 2020-03-11 23:10 sophhhie 阅读(356) 评论(0) 推荐(0)

Data Cleaning_Chicago Air-quality Case_TBC!!!

摘要：阅读全文

posted @ 2020-02-19 03:54 sophhhie 阅读(99) 评论(0) 推荐(0)

Time Series_1_BRKA Case

摘要：Berkshire Hathaway (The most expensive stock ever in the world) 1.1 Download data require(quantmod) data_env <- new.env() getSymbols(Symbols = 'BRK-A' 阅读全文

posted @ 2020-02-15 23:17 sophhhie 阅读(178) 评论(0) 推荐(0)

Derivative Pricing_2_Vasicek

摘要：*Catalog 1. Plotting Vasicek Trajectories 2. CKLS Method for Parameter Estimation (elaborated by GMM and Euler Approx) 3. Application 1. Plotting Vasi 阅读全文

posted @ 2020-02-09 00:58 sophhhie 阅读(189) 评论(0) 推荐(0)

Derivative Pricing_1_Black

摘要：1. Stock Option wih divends 1.1 Task A 1.1.1 Calculate a ECO on a stock. /Ex-dividend dates in 3 and 6 months, each dividend is expected to be 1; /P0 阅读全文

posted @ 2020-02-07 22:19 sophhhie 阅读(359) 评论(0) 推荐(0)

随笔分类 - R