If two time series follow a GARCH process, and a third is a linear combination of them, is the third also GARCH process?
I am really having a terrible time applying Girsanov's theorem to go from the real-world measure $P$ to the risk-neutral measure $Q$. I want to determine the payoff of a derivative based an asset ...
I'm wondering if there's any point at all in double-precision calculations, or whether it's ok to just do everything in single-precision, seeing how the difference on non-Tesla GPUs for single and ...
What are some methods for optimizing stop-loss reinsurance? I've found an article on the minimization of the variance. I also know about the method of average-at-range. Can we apply a method for ...
Pseudorandom number generators are often tested using e.g. a test suite like Diehard tests or Dieharder. If one would run these tests e.g. on stock market time series or other financial data, would ...
I'll teach an introductory course on mathematical finance in the near future. The course is intended to entertain and broaden some well-prepared advanced undergrad mathematics majors, some physics ...
What is a martingale and how it compares with a random walk in the context of the Efficient Market Hypothesis?
I'm hoping someone could help me understand this subject better. Basically I am reading a book and it shows a table ...