# All Questions

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### Looking for paper: “Simulation and calibration of the HJM model” by Andersen

I've Googled for the paper and found this site but it's down (at the moment). Note, this is not a quest for a free copy (or we wouldn't allow it :), the paper is also nowhere to find for a fee. A guy ...
131 views

### Discount Curve built-up

For a particular currency, let's say for USD, I'd like to know how to construct a discount curve? I've an impression that one professor told me that for USD, less than 3 months, it's using Libor ...
67 views

### Value-at-Risk of the sum of three independent lognormal random variables with different confidence level

there are three Business units in a firm, each has operational VaR value which are independent from eachother. the quantile for each opVaR is different from the others. can I simply add the VaRs to ...
98 views

### Using Gordon's Growth Model to find value of corporation

This is a question posed to us by my professor in my finance class. I was under the impression that the Gordon Growth Model was used to find the intrinsic value of a stock, but I am unsure how to plug ...
116 views

### Validation of Bates SVJ model

I have just finished implementing the Bates model for pricing European call options. To check results, I have been looking for a validation set where I could see the Bates parameter values and ...
277 views

### What is a Basis Swap Curve?

I know what a Swap Curve is. But I don't understand what a Basis Swap Curve is and how it is constructed? Need some guidance on this.
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### How to pull stock exchange names for a list of tickers, bloomberg?

How to pull stock exchange names for a list of stocks with tickers, on bloomberg? Please advise the steps so as to paste the list of tickers without having to type tickers one by one.
198 views

### Quantiles, Value-at-Risk and log normal random walks…

Sorry, that's probably quite a bunch of silly questions, but I just got lost a bit and need to dot all the i's and cross some t's :). Let's say we have a series of returns (like this one we may get ...
58 views

### When the two time series with different length, how could we analysis them with a bivariate GARCH model?

At this moment, i need to do the analysis of rouble/us dollars exchange rate and the stock market index in Russia, I prefer to do that in a multivariate GARCH model. However, I have a question about ...
80 views

### The importance of good optimizers in Portfolio Optimization

I work as a Quant for an Asset Management and Insurance company and have recently enrolled for Masters degree in Computer Science. I am thinking about investigating how important having a "good" ...
179 views

### Cash flow diagram, interest rate inflow series

I have a econ midterm coming up soon and stumbled upon this question. My approach is: 2C=800/(1.12^2)+1200/(1.12^6)=125.71 or C=1245.71/2=622.85 But I have a gut feeling this is wrong. I believe the ...
166 views

### Getting Parameter of Translated Gamma Distribution from Monte Carlo

Spin-off from here. (Edit) Main question: What do I do about a parameter whose suggested values range quite vastly? (Edit) Backstory: I am given data of loss values and the dates that correspond to ...
55 views

### Compute moments of aggregate loss using Monte Carlo

Spin-off from here. Richard referred to me an article that tells me how to get parameters of a translated gamma distribution to which I should consider fitting simulated aggregated loss values. The ...
426 views

### What is the proper discounting of PIK and non-compounding bullet loans?

This question pertains to two types of loans. Pay-in-kind (PIK) and bullet loans with quarterly payments. 1. PIK Loans A PIK loan is a loan where periodic interest is NOT paid, but added to the ...