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| Thank you. Will do my best! IH |
| We discuss similarity and differences between interest rates forwards and futures. Differences are explained not through products mechanics, but as expectations based on different probability measures. We show that forward rates are not risk-neutral... |
| Hello Michael Thank you again for your comments and observations. 1) I start from zero-drift to show how the real drift is actually obtained. In FX market this is usually a function of domestic and foreign rate. This is described both from USD and... |
| Thank you, Michael, for your comments and observations. The first equation you refer to shows the 'translation' of forward rate estimation (Libor) from OIS-driven measure = 'discount' measure to the one driven by the forward measure where... |
| We present simple and workable solution for construction of multivariate ***Brownian Bridge Process*** that can be used for analysis of multivariate patterns in conditioned distribution based on Wiener process. The ability to derive adjacent... |
| Machine learning in general extends traditional areas of probability and statistics into the subject of 'data science'. Probabilits would call this 'non-parametric' field of distribution representation. I agree, it may be bit confusing for... |
| *NOTE: all Wolfram Language code and data are available in the attached notebook at the end of the post.* ---------- Novel method for volatility objects building is being discussed in the attached note. Machine learning techniques are being... |
| We demonstrate the application of SARIMA model for the UK inflation forecasting. Using long-span historical data, we build robust and well-behaved model that captures structural variations in the UK inflation. Forecasts and predictions are reasonable... |
| Ruben the best way to proceed is to create a vector-valued ARIMA process with two components. Then based on this, you can build graphs as follows (replace "rFmode1" with the name of the process you defime on your own: nssvmean =... |
| Ruben I have attached the notebook where I copied the code from the original application. Hope this helps. Best Igor |