# All Questions

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### Normal vs Lognormal Short Rate models

Are there any general arguments to decide whether it is better to use a model with a normal or a lognormal distribution of the short rate? E.g. Hull-White with a normal and Black-Karasinski with a ...
353 views

### Recovery rate in a structured bond

I need to model the recovery rate of a structured bond whose expected cash flows, if the issuer remains solvent, will be very low. For instance, assume that I need to estimate the recovery amount of a ...
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### Simple EOD computations for tick data

As part of End-Of-Day calculations once a particular market/exchange has closed for all the tickers traded on that market one may typically compute the following properties: OHLC Bid/Ask Price (mean,...
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### How is the Sharpe Ratio presented in fund profiles usually calculated?

To compare my stock portfolio generator with managed funds performance, I want to calculate the Sharpe Ratio of my historic portfolios with the numbers found on the fund company web sites or in ...
3k views

### Stock prices using a monte carlo simulation with a normal inverse gauss distribution

I am supposed to model daily stock prices with a normal inverse gauss distribution in excel. I feel like I am misssing some basics because I cant transform the information from the academic papers ...
889 views

### expected value of the discounted payoff

I don't understand the following statement: The price of a contingent claim is the expected value of the discounted payoff value under the risk neutral probability measure Q deﬁned in complete markets ...
919 views

### Is duration really inversely related to the maturity time length of a bond?

It is always said that longer bonds are more sensitive to interest rates. Intuitively this makes perfect sense, since longer bonds have a larger portion of its cash flow being subjected to stronger ...
626 views

### Implied volatility and greeks for american option with discrete dividends

What methods are available to calculate IV and greeks for an american option with discrete dividends, and how do they compare? Should I use Roll-Geske-Whaley and solve for a given option price?
829 views

### Formula for variance of European call/put in Black Scholes

I have a quite basic question, but I can't find a reference with it. Recall that we can use the Black-Scholes formula to price a European call or put for a market consisting when: the underlying ...