Okay, thank you for your input. I will have that in mind while constructing the index.
Do you have any input regarding my questions for the methods to calculate mean for the annualized return and standard deviation of the returns?
What is volume-weighted aritmetic average? Volume data?
Can you elaborate a bit more around this? How would I in my case go about to implement this?
Why is it bad to ignore volume?
Well, because I want my portfolio to consist of Equities, Commodities, T-bills, Bonds and Credit. I don't want any subindecies in the presentation of my portfolio.
I have the monthly returns for the asset classes in geometric form. I then want to compute the annualized return, and there is a...
My question regards combining several time series into just one series. I have four commodity time series (monthly nominal returns of ags, precious, industrials and energy) and want to combine these (equally weighted) into just one commodity time series. What is the best way of doing this...
I still don't understand where you get S from. You guys say that you start off at the end point (at time T) because you know the payoff VK(S, T) = max(S - K, 0) at this point in time. But how do you know all the different underlying asset prices S at the time point T (and all other time points)...
When calculating the option prices with the use of finite difference methods you approximate the derivatives in the Black & Scholes PDE.
Where do you get the option prices used in these approximations? I mean, we are supposed to calculate the option price, and at the same time you need...
I need help with calculating local volatility by most likely path calibration. In this ( http://www.algorithmica.se/research/Masters%20Thesis%20-%20Calibration%20of%20the%20Volatility%20surface.pdf ) paper (page 17) it says that I have to find the most likely path before I calculate the new...
I found an interesting article by Nassim Nicholas Taleb and Pablo Triana the other day, where they accuses the quants for being partly for the financial crisis we now face.
http://www.ft.com/cms/s/0/4f86d422-c48f-11dd-8124-000077b07658.html?nclick_check=1
By Nassim Nicholas Taleb and Pablo...
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.