Top new questions this week:
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I'm reading about the Hull-White model, I understand the math behind it and logic but what I am struggling to understand is how it's actually used in practice ? How can we combine it with technics ...
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I am looking for some good textbook to understand xVA and related calculations. Can you please suggest few?
Your pointer will be highly appreciated.
Many thanks,
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I would just like to confirm my understanding of how the FED controls interest rates. In my view there's no such thing as changing an interest rate. Because rate/yield is just an effect of price ...
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The lecture notes I am currently reading give the following example of a delta-neutral portfolio:
minus one derivative (whose value at time $t$, when the value of the underlying is $S_t$, is denoted ...
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Assuming no dividends, the put-call parity equation says:
$c + \mathrm{Ke}^\mathrm{-rT} = p + S$
where $c$ is the price of the European call, $p$ is the price of the European put, $S$ is the current ...
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I hope you can help me with this rather basic question that I asked myself. A random vector $(X_1,...,X_n)$ is said to be exchangeable if it has the same distribution as the permuted random vector ...
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I was looking at some old post : Variance of time integral of squared Brownian motion
I failed to grasp 2 derivations -
$\text{Cov}\left(\int_{0}^{t}W^3_sdW_s\,,\,\int_{0}^{t}W^2_sds\right)$. I know ...
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Greatest hits from previous weeks:
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Covid-19 and similar risks are low probability, high loss events. Does it make sense to utilize options to provide hedges for such events? For example, should one utilize long positions in deep ...
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I am looking for long time historical intraday day data on the S&P500 composite for a time horizon like 10 years with a - for example 10-minutes tick - or prices for call/put options on the ...
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As the title reads, what is the difference between credit risk and counterparty credit risk? What are the key differences?
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I want to simulate stock price paths with different stochastic processes. I started with the famous geometric brownian motion. I simulated the values with the following formula:
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What is the difference between Close price and Settlement Price for future contracts?
Is there a defined rule for evaluating the settlement price or different rules are applied for each ...
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Searching online, i found out that non-stationary cannot be analyzed with traditional econometric techniques as in case of non-stationarity some basic model assupmtions are not met and correct ...
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My bollinger band comes out like the below, which doesn't seem right. Any idea what is wrong with my code for calculating upper and lower bollinber bands?
I obtained my data from here
start, end = ...
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Can you answer these questions?
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I have been struggling with the problem below for quite some time now. I really don't know how to approach it. All I could think of is to use the Black-Scholes formula with $T \rightarrow \infty$, ...
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Up to now, I have been unable to find a clear explanation on the calculation of the forward delivery date for 1M. I understand that when the spot delivery date is e.g. 14-Jan, then the 1M delivery ...
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I failed to understand how does QuantLib manage the day-count issue when determining the actual Coupon payment. Below is my Fixed Rate Bond -
import QuantLib as ql
import pandas as pd
todaysDate = ...
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