search for: heston

I have to calculate the logreturn variance in the Heston model. How can I do? Do you know some function that calculates it? Thank you Barbara -- ________________________________________________________ Le informazioni contenute in questo messaggio di posta elettronica sono strettamente riservate e indirizzate esclusivamente al destinatario. Si prega...

...phi, k, t) { integrand <- function(u) {Re(exp(-1i*u*k)*phi(u - 1i/2, t)/(u^2 + 1/4))} res <- S0*exp(-q*t) - exp(k/2)/pi*integrate(integrand,lower=0,upper=Inf)$value return(res) } Price_callVec <- function(phi, k, t) { mapply(Price_call, phi, k, t) } # The characteric formula for the Heston model (Eq. XX) phiHeston <- function(kappa, rho, eta, theta, v0) { lambda <- - kappa function(u, t) { alpha <- -u*u/2 - 1i*u/2 beta <- lambda - rho*eta*1i*u gamma <- eta^2/2 d <- sqrt(beta*beta - 4*alpha*gamma) rplus <- (beta + d)/(eta^2) rminus <-...

Dear all, I would like to know that R has the function for garch-t,gjr- garch,qgarch and egarch. Best Regards, Luck

I am trying to write some code where the factor references its previous value, but can't find a solution searching through the archive. > X first second 1 A 1 2 A 2 3 B 3 4 B 4 5 B 5 6 C 6 7 C 7 I need a third column, in pseudo code- If value of first=previous value of first: third=previous value of third else third =

I am new to R and am trying to import a text file that contains date/time and various fields. I want to sort this matrix by date and also perform calculations on the date field (difference between two dates etc). The format of the string looks as follows: x<-c("25/2/2003 0:00:00") I tried: as.Date(x,format='%d/%m/%y') [1] "2020-02-25" Obviously I am doing

...ich seems totally wrong). However, the function uses k[1] for t 1 to 4, and thereby returns 16 different values instead of just 4. Can anyone tell me how to do this - I know the answer is simple, but I dont understand how Thank you for your time Kinds Rikke #------ Characteristic function of the Heston model -----# phiHeston <- function(parameters) { lambda <- parameters[1]; rho <- parameters[2]; eta <- parameters[3]; theta <- parameters[4]; v0 <- parameters[5]; function(u, t) { alpha <- -u*u/2 - 1i*u/2; beta <- lambda - rho*eta*1i*u; gamma &l...

...the Brady Law rules. The Brady Law has been in force for three years. In that time, they have prosecuted seven people and put three of them in prison. You know, the President has entertained more felons than that at fundraising coffees in the White House, for Pete's sake." -- Charlton Heston, FOX News Sunday, 18 May 1997

I'm trying to duplicate something in Excel, where it is easy to reference the previous row in formula. Have been stuck on this for ages trying to achieve the same result in R. I've managed to do it with a loop but it takes ages on a large data set. What I want to do is create a new variable in a matrix that will refer to it's previous value if the ifelse statements aren't met.

...problems installing package XML to a computer without an > internet connection (Gabor Grothendieck) > 52. I'm looking for a book about spatial point patterns (Diggle, > 2003) (Unangu) > 53. Re: install.views() (oscar linares) > 54. Convert date/time string to date (Heston Capital) > 55. Re: problems installing package XML to a computer without an > internet connection (Bob Green) > 56. How to get solution of following polynomial? (RON70) > 57. Re: problems installing package XML to a computer without an > internet connection (Prof Brian...