A short-rate model is usually calibrated to some initial structures in the market, typically the initial yield curve, the caps volatility surface, the swaptions volatility surface, and possibly other products, thus determining the model parameters. Va... [Read more...]

This R program can be used to download option price data from Yahoo to a data frame and to plot the corresponding implied-volatility smiles. http://www.math.tu-berlin.de/~mkeller/index.php?target=rcodeTags - download , data , optionRead the full post ... [Read more...]

Quantile regression is a statistical technique intended to estimate, and conduct inference about, conditional quantile functions. Just as classical linear regression methods based on minimizing sums of squared residuals enable one to estimate models f... [Read more...]