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Apr
11
awarded  Scholar
Apr
11
comment quantiative risk measure how they are implemented in R and their use
Thank you so much for your help
Apr
11
accepted quantiative risk measure how they are implemented in R and their use
Apr
11
comment quantiative risk measure how they are implemented in R and their use
Many thanks for your answer. I got a better "big picture" of these things. Just three small questions about your last comment: Put it simple, once fitted a times series using historical data one will use this to forecast future returns and calculate the VaR/CVaR using distributional properties of the time series? About your last sentence: You mean one should use a multivariate time series to respect the correlation? Last, the function ES respect these correlation for a portfolio contain more then one asset? I'm very thankful for your help and patience.
Apr
11
comment quantiative risk measure how they are implemented in R and their use
That was not my question. I know what a time series is. I would like to know how they are used to calculating VaR / CVar in reality. For example, for a portfolio containing different assets are you using a multivariate time series or for each stock separately. How are they used further in the estimation of VaR/CVaR.
Apr
11
comment quantiative risk measure how they are implemented in R and their use
I'm very thankful for your answer. But I don't understand the use of time series in this context. Could please provide some additional information, e.g. how is time series analysis used in reality? Let's say your portfolio contains 3 stocks. You also have some historical data (returns) of all these stocks. How would you proceed?
Apr
11
revised quantiative risk measure how they are implemented in R and their use
deleted 7 characters in body
Apr
11
asked quantiative risk measure how they are implemented in R and their use
Feb
7
awarded  Yearling
Jan
27
comment Time-zero price of two specific contingent claims
@WilliamS.Wong You were completely right. Thanks for pointing out :)
Jan
27
revised Time-zero price of two specific contingent claims
added 67 characters in body
Jan
27
comment Time-zero price of two specific contingent claims
@WilliamS.Wong I do not assume $r=0$. Assuming BS-Model the risk free bank account is given by $dB=Brdt$ and the risky asset(s) $dS=S(\mu dt +\sigma dW_t)$. Now as usual in mathematical finance one looks at the discounted prices to compare them, i.e. $\frac{S}{B}$.
Jan
26
comment Time-zero price of two specific contingent claims
@TIJones I think you don't understand what $W_T$ is. It is a random variable. Hence you can't it pull it outside the expectation. $X:=(\sigma W^Q_T-\frac{1}{2}\sigma^2T)\sim \mathcal{N}(-\frac{1}{2}\sigma^2T,\sigma^2T)$. Look at the second moment of a normal r.v.
Jan
26
comment Time-zero price of two specific contingent claims
@WilliamS.Wong I should have mentioned that I used discounted quantities. Your suggestions is for undiscounted ones.
Jan
25
answered Time-zero price of two specific contingent claims
Jan
9
awarded  Student
Jan
9
asked FTAP in the model independent case, paper by Schachermayer
Jul
24
comment Black--Scholes hedging argument
What definition of $\beta$?
Jul
24
comment Black--Scholes hedging argument
I did not check your calculations. This is the point about this bijection I mentioned. As soon you fixed your strategy for the risky part (and initial capital), the "trades" in the bank account are determined if you want trade in a self-financing way.
Jul
24
comment Black--Scholes hedging argument
@MattWolf I totally agree with the simplicity and more intuitive manner of your solution. To be honest, as a mathematician I'm biased and clearly like more the mathematical derivation :)