# All Questions

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### Are these nonstationary variables?

If I have understood correctly, computing the correlation of two nonstationary variables can lead to spurious results. For example, computing the correlation of two stock price time series would lead ...
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### Total demand under logit model

The setting is simple, i.e. formula for demand of service/product is linear $$d = \alpha - \beta p$$ where $\alpha$ is maximum demand, $\beta$ is some coefficient, and $p$ is price. There ...
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### How to calculate the standard deviation of a 'deviation from a moving average'?

Say I have a vector of daily price changes for an asset and calculate the standard deviation of returns in the usual way. Let's call this result A. Now assume that for the same asset I also have a ...
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### Does it make sense to use upward and downward volatility in option pricing?

Historically stocks have a higher likelihood to increase in price than to fall in price. As such would it make sense to split a stocks volatility measurement into upward and downward components? For ...
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### What interest rate dynamics would you suggest to simulate a single swap?

I need to calculate the Potential Future Exposure (PFE) for a single swap (not a portfolio). As far as I know, a stochastic model is needed to simulate the interest rate curves (from here). Could ...
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### Different ways of portfolio optimization

There are different ways to optimize portfolios: $$\max R^Tw\tag{1}$$ or $$\min w^T \Sigma w\tag{2}$$ and finally using a risk tolerance $\lambda$:  \min{(w^T\Sigma w-\lambda R^T ...
57 views

### Where to get master list of mutual funds?

I cant seem to find a straight answer anywhere on Google for this. I would like to create a master list of all known mutual funds and their ticker symbol. Is it possible to get this data from ...
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### ZSpread in multiple curve framework

how do I calculate ZSpread for a govt. bond in a multiple curve framework? I have not come across the exact details anywhere so I want to verify if I'm right. Below is my understanding, please correct ...
452 views

### What are the main flaws behind Ross Recovery Theorem?

Stephen Ross’ new paper claims that it is possible to separate risk aversions and historical probabilities if the Stochastic Discount Factor is transition independent using Perron-Frobenius Theorem. ...
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### (Beginer on bond market) References on callable bond's pricing

I am searching for references on pricing callable bonds. I've not find any rigorous mathematical approach on the web. All I found was some soft approaches in a discrete framework. Edit: First of ...
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### Curve Euribor - Euribor 3M

I'm setting up some Euribor 6M and Euribor 3M curves. So far i have all the data and quotes i need, but i'm having trouble defining the firsts points of the curve. I'm currently using 6M Euribor and ...