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Mar
24
answered The use of GARCH
Mar
24
revised What is the fair price of this option?
added 2 characters in body
Mar
24
revised What is the fair price of this option?
deleted 2 characters in body
Mar
24
answered What is the fair price of this option?
Mar
22
comment Expected Shortfall and Spectral Risk Measure
I don't understand why you have the word spectral risk measure in the title ?
Mar
22
answered Why is the LIBOR-market model free of arbitrage?
Mar
22
awarded  Curious
Mar
21
answered Why the Black-Scholes formula can be used in the real world?
Mar
20
asked modeling regime switching for Correlation matrix
Jan
18
comment Parametric/Analytical VaR
This is fine for t but not skew-t where location is not the same as mean
Jan
17
awarded  Promoter
Jan
6
comment Parametric/Analytical VaR
For a student-t distribution, Modified VaR is different from Gaussian VaR which is different from VaR using quantile from a t-distribution. Modified VaR only uses quantiles from a normal distribution but the other 2 cases are different
Jan
6
comment Parametric/Analytical VaR
The question is about parametric estimation and not non-parametric estimation. Fitting parameters is not a concern. Understanding theoretical behavior is what I am trying to undersatnd
Jan
6
comment Parametric/Analytical VaR
The challenge is to understand the context for non-normal distributions. Each estimate of VaR that I have suggested is valid.
Jan
6
awarded  Critic
Jan
6
asked Parametric/Analytical VaR
Dec
19
comment comparing modified VaR to ordinary VaR
The intuition is missing. I understand the use of cornish fisher expansion to the quantiles to include skewness and kurtosis but what inferences can be made but just looking at the numbers
Dec
19
asked comparing modified VaR to ordinary VaR
Dec
1
comment dynamic programming with serially independent returns
Can you explain that in terms of the shape of the scenario tree in dynamic programming context with stages and states
Nov
29
comment dynamic programming with serially independent returns
I am unable to understand the statement made in the 2nd paragraph of page 215 of the Book. My understanding is that returns must have a distribution at each stage and so wealth must have a distribution. Hence, there must be a fan like structure connected to another fan like structure. I am struggling to understand the shape of the scenario tree.