# All Questions

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### Price an option whose strike price is always lower than the future price of the security

Suppose it is known that the price of a certain security after one period will be one of the $m$ values $s_1,\ldots,s_m$. What should be the cost of an option to purchase the security at time $1$ for ...
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### Commonly used vol surface calibration model in the industry

I have 2 questions: What is the most commonly used equity option pricing model? I learned jump diffusion at school, read about Hensen and a few other models online. I am actually only calibrating ...
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### Gamma and delta P&L example question

I'm trying to get a basic understanding of this example delta ladder ...
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### Market price of volatility risk

Reading Gatheral's The volatility surface, page 7. The model they are talking about is ...
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### Equall Risk Contribution and The Most Diversified Portfolio [closed]

I am a master degree student on applied economics at Brazil and my thesis will be about smart beta strategies. I pretend to apply Equal Weigth, Mininum Variance, Most Diversified Portfolio and Equal ...
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### Black-Scholes formula with deterministic discrete dividend (Musiela approach)

For deterministic discrete dividend, there are two approach Musiela approach, works when every dividend are paid at maturity of the option. Hull approach, works when every dividend are paid ...
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### Using Financial Ratios to get credit rating or PD

Hello I'm looking for papers, aside from ones that use CDS spreads, about credit rating development or estimating default probability based on financial ratios that also include methodology and maybe ...
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### Can you use a t-test on bootstrapped Value at Risk (VaR) figures?

I need to compare VaR before and after the recession. I have a series of market returns for a period before, and a series of market returns for the period immediately after. Both have been ...
105 views

### Why is there onshore and offshore currency?

I hear a lot about offshore and onshore currency, but I don't understand the difference between them. What is the difference between onshore and offshore currency in a country? Besides that, why is ...
138 views

### Bayesian or Frequentist in Finance?

I'm currently an undergrad at a Canadian university and our finance courses has been brought up through the frequentist approach (ols, hypothesis testing, sampling theory). Only recently, through ...
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### Who determine Sport rate curve (Yield Curve)

My study was in a Mathematical modelling, we studied much about theory, equations, how to resolve equation, how to implement, but we don't understand well where these equations come from. My ...
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### Bayesian estimation of asset pricing models

I am interested in Bayesian methods in the context of financial economics and quantitative finance and have been looking for research which uses Bayesian parameter estimation on asset pricing models, ...
191 views

### Learn backtesting using MATLAB

What are some good ressources (books, articles, ...) to learn backtesting of investment strategies using MATLAB ? It can be strategies related to fixed-income, equities, derivatives, ... whatever. ...
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### Using central limit theorem to test whether population average return is the same, before and after the recession

This is the task I have been asked to do. I've read up on what central limit theorem (clt) is, but I feel like I'm missing something. The data I have is a matrix of monthly stock returns from 50 ...
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### For the Dothan model $E^Q[B(t)]=\infty$?

How can I show that for the Dothan short rate model We have $E^Q[B(t)]=\infty$ ? Where Dothan short rate model is " $dr_t=ar_tdt+\sigma r_tdW_t$ ". I appreciate any help. Thanks.
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### I have some historical options data, and there are duplicates of some options, how to filter them

I have some historical EOD options data for 2013, and there are duplicates listed for same strikes/expirations. I was told that by the provider that this is due to "special one-time cash payout" for ...
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### interbank market rates - missing data

I took EU market rates here: https://www.banque-france.fr/en/economics-statistics/rates/main-euro-area-interbank-market-rates.html As you can see (Eonia 05/13/1999 for example) there is non defined ...