# All Questions

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### To currency hedge or not to currency hedge (ETFs)?

When is it preferable to use a currency hedged ETF over a none currency hedged ETF? There has been studies which have shown over the longer term currency hedging does not make a difference. ...
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### Term to Maturity when calculating discount function

I am just trying to understand what TTM (Term to Maturity) means in Page 8 of this PDF when calculating the discount function. Is it just the vector representing the difference between the time to ...
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### Market price of risk for interest rates

What is the "market price of risk" in interest rates models? Is it different for short-term and long-term government bond yields?
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### Understanding N(d1) and how to use the stock itself as the numeraire?

Assume the stock price follows GBM. Then in BS pricing model, N(d2) is the risk-neutral probability that the option expires in-the-money. However, it is said that N(d1) is also the probability that ...
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### What‘s the definition of static arbitrage?

Could someone give the strict definition of static arbitrage? I know what the arbitrage means but have no idea about the term "Static". Thanks in advance!
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### Bayesian logit model in Psychometric or Behavioural Testing for Credit Scoring in Developing Countries

A lot of parameters in one title, I know. So there's credit scoring but not using credit history. Then there's using a Bayesian logit model. Then there's doing so in a developing country such as Haiti ...
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### How can a share price be different on its open than it was on the previous close?

The changing in price of shares are down to the number of people buying or selling stock. So, if there is a large demand for a stock then the share price will increase, and if there are lots of people ...
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### market change, correlation and estimation bias

I hear many quants sating that markets change very slowly. This "fact" is even presented as a justification of statistical arbitrage, for example, by affirming that correlations remain roughly the ...
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### Long-term proportion of convex and concave strategies in artificial financial markets

In their classic paper "Dynamic Strategies for Asset Allocation" Perold and Sharpe state: "That convex and concave strategies are mirror images of one another tells us that the more demand there ...
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### European call down and out option (geometric Brownian motion, Monte Carlo, Euler)

I need to estimate the expected value and the Greeks of an European call down and out option, assuming geometrical Brownian motion of the asset, with Monte Carlo simulation employing Euler ...
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### Optimize Kelly Criterion in these circumstances for Binary Options

For simple bets with two outcomes, one involving losing the entire amount bet, and the other involving winning the bet amount multiplied by the payoff odds, the Kelly bet is: f* is the fraction of ...
In finance, many stochastic processes $X(t)$ are defined via $$dX = \text{(some drift term)} dt + \sigma X^\gamma dW_t$$ with $\gamma = 1/2$ (for instance the Heston model ...