Let's say that I have a calibrated SABR model in FX market (eg for Eurodollar options). So I have estimated values of beta, rho, alpha, and vol of vol. How do I map the calibration in a (strike, vol)-...
I am working on my dissertation and i would like to provide a nice interpretation of two tables which i will present below. I have 10 portfolio buckets which i sort on 6 different attributes. One of ...
Is there concrete evidence that statistical arbitrage (historical vs. implied) on higher moments, specifically skewness and kurtosis, can be (significantly) done? Working from this source, the author ...
I want to optimize an equity portfolio for the four central moments can anyone help me with the problem formulation
Basically i am confused as to which formula to use for portfolio skew and kurtosis and how to use the same in the optimization problem. I would also like to know the options available regarding the ...