Naively, it seems that Bayesian modeling, structural models particularly, would be quite useful in finance because of their ability to incorporate market idiosyncrasies and produce accurate ...
If stock A has a 60% chance of rising, and stocks A and B have 80% correlation, what is the chance of stock B rising?
As in the subject, I'm interested in a math puzzle of sorts: If stock A has a 60% chance of rising, and stocks A and B have an 80% correlation, what is the chance of stock B rising? Would it be ...
I am substituting reasonable values in the below fomula (like r=0.12, T=20, nColumn=16, sigma=0.004)...why is probability coming out to be greater than 1? Any help? Thanks! ...
I'm looking for a heuristic way to calculate the probabilities of being in the money at expiry for non-defined risk options combinations (listed options). I use delta as a proxy for this probability ...
A fairly naive approach to estimate the probability of drawdown / ruin is to calculate the probabilities of all the permutations of your sample returns, keeping track of those that hit your drawdown / ...
on “recovering probability distributions from option prices” - how to subtract influence of stochastic volatility?
This is based on a 1995 paper by Rubinstein/Jackwerth by the above title where the authors produces a distribution of stock prices inferred from option prices. But their approach only produces a joint ...
I have been thinking a lot about the following puzzle. But, could not arrive at a solution. Can someone explain me how can you get a fair (equal probability) outcome using only an unfair coin (where ...