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Jun
1
comment returns of Bonds and exchange rates
Please have a close look at the drift term of an SDE and the expected value of the process. Then decide how to fit the parameters of the sample to the parmeters of the SDEs. Details are described above.
Jun
1
comment returns of Bonds and exchange rates
one more edit. ..
Jun
1
revised returns of Bonds and exchange rates
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Jun
1
comment returns of Bonds and exchange rates
I edited the answer. If you model the log-returns as normally distributed then you don't have to change the mean in any way.
Jun
1
revised returns of Bonds and exchange rates
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Jun
1
comment Models crumbling down due to negative (nominal) interest rates
Well, BS on a stock does not break down. Black 76 when the underlying is a negative rate itself does.
Jun
1
answered returns of Bonds and exchange rates
Jun
1
comment Realized Volatility: errors correlation
Have you got it the number $0.1$ for various sub-samples too? Otherwise I would say that $0.1$ is not significant.
Jun
1
revised Why is the variance of a portfolio a quadratic form?
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Jun
1
comment How to infer correlation?
@SRKX which method have you tried and which one worked best?
Jun
1
revised Math background required to understand geometric brownian motion
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May
29
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).
May
29
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 ...
May
29
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.
May
29
answered Math background required to understand geometric brownian motion
May
28
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).
May
26
awarded  Popular Question
May
26
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.