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 Oct15 awarded Yearling Oct15 answered Problem when calculating the daily return on a forex trade, what is the best way to do such a calculation? Sep19 answered Why would there be a positive risk-free rate? Aug27 awarded Critic Jul10 comment How to see the impact of one variable on a set of other variables? Richard is right this sounds like a job for regression analysis. If you would like to bet money on the outcome be aware that you attempt a very difficult thing and there are many pitfalls. The main problem is the large number of potential factors and their complex and time dependent interaction. I guess you can start with any book covering regression and time series analysis. In addition there are a gazillion of academic and other papers. A quick search with the keywords "shocks" "equities" and "regression analysis" gave me about 6m hits Jul10 comment What are the implication of a negative risk-free rate on SML? Second comment: Does CAPM still make any sense as a model if risk free rates are negative? One could hold cash in physical notes in a safe vault earning zero which means negative risk free rates create arbitrage opportunities. So the fact that negative risk free rates are possible at all can only be explained with features not contained in the CAPM model, such as the cost of safe bank vaults or the fact that there is no risk-free asset in the first place. Jul10 comment What are the implication of a negative risk-free rate on SML? First Comment: Are negative rates really consistent with the assumptions underlying CAPM? For example why would anyone invest risk-free instead of consuming wealth immediately? Jul10 answered How to see the impact of one variable on a set of other variables? May28 comment List of financial derivatives Ito's Lemma does not apply Probilitator: Can you give a reference for the smoothness result for $g(t,x)$? I was just looking for something in that direction. May28 comment Is there any other way to measure option pricing model performance than proximity to market prices? I would like to support Matt's comment by pointing out the "no-arbitrage" principle. Due to this principle an option price is closely connected with the underlying's price. Whenever no-arbitrage applies option prices are not an "estimate on the future of the underlying's market" at all. Furthermore "better model" needs to be decided in view of its application. If you want to trade and your model is "off the market" you are very likely in trouble since people might be able to make a riskless profit from you. May6 comment Empirical copula No, the joint distribution is not defined (or only up to $Y\leq 2$) thus the copula is not defined. Of course you could extrapolate. But to do this you need additional assumptions, such as a parametric copula or joint distribution. May6 answered Empirical copula Mar3 comment The concept of an incomplete market @Probilitator: This is a link only reply, which are supposed to be provided in comments as per policy. I learned this the hard way :-) i.e. one of my answers got removed. Mar3 comment Algorithmical replication of a profit and loss function using different options Hmm, why do you need puts? Let $S$ be the underlying and $K$ any strike level. Then the pay-out of the put is $max(K - S, 0)$ which is equal to $K - S + max(S - K, 0)$ which is a portfolio consisting of $K$ long cash, short the underlying (i.e. one call with strike zero), and long a call with strike $K$. Feb28 comment The concept of an incomplete market A good reference is "Föllmer, H. and Schied, A. (2002). Stochastic Finance: An Introduction in Discrete Time, de Gruyter Series in Mathematics 27, Berlin". Whether it is "easily accessible" or not is of course a matter of subjective taste. It covers the first two bullet points comprehensively. Feb28 comment Algorithmical replication of a profit and loss function using different options Actually this problem is not about options it is about approximation of a function (the pay out) by a set of basis functions (the calls.) It is (as you say) pure linear algebra. You even do not need Puts and Calls. If you permit long and short positions only Calls and Cash are sufficient. Solutions are unique if your replicating instruments are linear independent. In many cases the space of functions you would like to replicate will be of infinite dimension. But the case of piecewise linear functions with a finite number of breakpoints is entirely straightforward. Feb14 answered Attributing the change in NII to Shift, Twist and Butterfly Feb14 answered Is it wrong to use 'real world' probabilities for option valuation? Jan30 comment Consistency of economic scenarios in nested stochastics simulation It does not address the question as there is no reference to nested stochastics. Actually I could not even find a clear distinction between real world and risk neutral dynamics. From a quick glance the author seems to suggest a discrete Markov chain approach for calibrating an economic scenario generator. This is a straightforward idea but in my opinion such an approach will work only if the state space has very low dimension (<5), since in higher dimensions this discretisation of the state space is no longer feasible. Jan27 answered Estimation of Empirical Expected Shortfall of a heavy tailed distribution