Brownian Motion Process for Stock Returns

Closed

1. Inputs are ?, S0 and ?. Inputs ? and ? are annualized

2. Time interval is t =1/252

3. Create 10000 21 day paths.

4. For the 21 day return, find themean, stdev, and kurt (these should be close to the

inputs, with kurt = 3 for BrownianMotion).

STOCHASTIC PROCESSES • 99

5. For the 21 day return, find the 99% and 99.9% Var and Cvar (i.e. pick a frozen

example)

Skills: Excel, Finance

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Project ID: #3999401

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bfgreyling

I specialise in financial applications. I have your spreadsheet ready for you. Please see PM for results to see if it matches your requirements.

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pzfreelancer

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mvlp

Hi, This is not a dificult task, but you already know the quality of my work. I'm working on other projects at the moment, so the value of my offer is higher than usual. Thanks

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jameslamk

Consider it done Experienced master graduate in financial mathematics. This is clear to me. you can have your project in less than 24hours

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