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3h
comment Pricing Treasury futures
Ok, now I understand what you mean ...your question and your thoughts are mathematically rigorous. I just wonder how this is done in practice? They don't solve fixed point problems. I guess they just trade futures $F$ and if this $F$ deviates too much from its fair values (given by the forward of the CTD) then it is corrected (due to arbitrage reasons).
3h
comment Pricing Treasury futures
But the conversion factor is deterministic. The expectation is w.r.t the martingale measure. Then $E[B_i]$ is the futures price of the bond. Then the whole story is: choose conversion factors to make the basket comaprable, find the cheapest to deliver (ctd) out of that basket, if you have it calculate the usual futures/forward price. But still in order to find the ctd we need the future price ...
4h
comment Math background required to understand geometric brownian motion
Multivariable caculus will not suffice to understand a stochastic process. PDEs are an overkill for intuitive understanding in my mind.
4h
answered Math background required to understand geometric brownian motion
18h
comment Pricing Treasury futures
Thanks for this question! I have been confused by this fact already for a while. I also think that then the Treasury futures should be some kind of simple forward (with future margin calculation) with the bond as underlying. This would be an alternative formulation of your (2).
2d
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2d
comment R package for portfolio
Really very clever! In short $y_i = |w_i|$ -> right?
May
22
answered Portfolio volatility
May
22
comment Need for Binomial Representation Theorem
Please write the question title without abreviations. Furthermore. I wonder if the question is clear to someone who does not know the book. I would like to help you if you could reformulate the question a bit. But maybe someone else can anyways.
May
21
comment R package for portfolio
You could have a closer look at fPortfolio but I don't know whether everything that they promised really works.
May
21
revised R package for portfolio
added 480 characters in body
May
21
comment R package for portfolio
I edited and took into account the comment of John about the package nloptr.
May
21
revised R package for portfolio
added 405 characters in body
May
20
answered R package for portfolio
May
18
revised For $B_t$ a Brownian motion what is the probability that $B_1>0$ and $B_2<0$?
edited title
May
18
revised Why does the short rate in the Hull White model follow a normal distribution?
edited body; edited title
May
18
comment Fractional Brownian motion
Why should $s$ be negative?
May
18
revised Fractional Brownian motion
edited title
May
15
comment Systematic Views in Black-Litterman?
I edited my answer.
May
15
revised Systematic Views in Black-Litterman?
added 550 characters in body