# boards

Quant版 - Predictive Power of Hull White Model

[合集] 请问牛人，下面说的是哪方面的东西。The next big boom, Do you know any heavy weight person who predict it ?

price/divident 难以预测是吧 那勉强有点被认可的predict公式是什么？Can option price predict future
Predict values of vectors generated by black box functionshedge fund 都要什么背景的人？

[合集] 中期底部Paradox: B-S equation predicted stock price growth rate VS economy growth
How to valuate a company?有人玩这个么？ (转载)
A good time to go into MFE programDoes non-stochastic mean predictable? Not necessary to be constant?

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 I*******i发帖数: 1703 1Currently I am working on a project where I use HW interest rate model to forecast future short rate r(t,t )and long rate r(t,T). when i backtest my prediction against realized rate, say the long rate r(t, t+1year) that is calculated according to HW, there is a consistent positive bias of my prediction ( meaning prediction > realized ) Anyone here has related experience working with HW interest rate model? Is there a theoritical explaination on this phenominon? I am using a fixed mean reversion i****e发帖数: 78 2没用过HW模型,不过常识来讲,还没有模型能预测市场的将来. HW模型也只是个模型而以. , positive 【在 I*******i 的大作中提到】: Currently I am working on a project where I use HW interest rate model to: forecast future short rate r(t,t )and long rate r(t,T).: when i backtest my prediction against realized rate, say the long rate r(t,: t+1year) that is calculated according to HW, there is a consistent positive: bias of my prediction ( meaning prediction > realized ): Anyone here has related experience working with HW interest rate model? Is: there a theoritical explaination on this phenominon?: I am using a fixed mean reversion a*****k发帖数: 704 3楼住的问题我不是很明白 我想一般我们用HW来pricing options. 首先应该是fit the yield curve. forecast是怎么弄？ 【在 i****e 的大作中提到】: 没用过HW模型,不过常识来讲,还没有模型能预测市场的将来.: HW模型也只是个模型而以.: : ,: positive f*******y发帖数: 988 4extrapolation呗 【在 a*****k 的大作中提到】: 楼住的问题我不是很明白: 我想一般我们用HW来pricing options.: 首先应该是fit the yield curve.: forecast是怎么弄？ n****8发帖数: 23 5If you have both positive or negative bias, it is normal since no model can predict the rate perfectly. But persistance positive biase means something wrong. HW is affine term structure models. If you use 1 factor HW, it doesn't capture non parallel shift of the term structure. Hence the TS you forecase could only show paralell movement, which result in persistance positive or nagative bias. If you use 2 factor models, it can allow non parallel shift. But there are many format of 2 factor models I*******i发帖数: 1703 6Thank You Very Much!! We r using 1 factor hw model..could u explain more abt this part? "HW is affine term structure models. If you use 1 factor HW, it doesn't forecase and what r the possible sources of persistent positive or negative bias in this case? can appear there
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Does non-stochastic mean predictable? Not necessary to be constant?问个libor model问题

[合集] 请问牛人，下面说的是哪方面的东西。The next big boom, Do you know any heavy weight person who predict it ?

price/divident 难以预测是吧 那勉强有点被认可的predict公式是什么？Can option price predict future
Predict values of vectors generated by black box functionshedge fund 都要什么背景的人？