Brownian Motion Process for Stock Returns

Budget $30 - $250 USD
Bids 4
Average Bid $105

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)

Post a Project Like This

This project was awarded to

bfgreyling

Ben is one of the best easy language programmers I've used and I've used many! He grasped the objective quickly, asked the right questions to do the job and then set about his work. When he finally delivered the code not only was it showing exactly what I wanted, he had taken the brief a step further (without prompting) and delivered a final product that was far superior to anything I expected. Look no further for you tradeststion programming requirments. I will definitely be using Ben again.
About the Freelancer
bfgreyling Profile Picture

I specialise in financial application programming, specifically using software packages Tradestation, VB6/VBA and Excel/Access.

Looking to make some money?

  • Set your budget and the time frame
  • Outline your proposal
  • Get paid for your work

Bids on this Project