Top new questions this week:
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I am looking for good books to learn quantitative finance. As I have strong background in physics, I would appreciate introductions that do not hesitate to show the equations, but in the same time ...
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I am struggling with the following exercise:
Prove that on Black-Scholes market, with some parameters $r, \mu, \sigma >0$,
a payoff
$$X=\int_{0}^{T}\ln ...
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I am starting to explore this area. My ultimate aim is to build a 3 month LIBOR forward curve.
1) I wish to know what exactly 'Dual Curve Bootstrapping' is (If someone could explain it in clear ...
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Is the price of an American put on an underlying without dividend convex with respect to the strike?
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The Fundamental Theorem of Asset Pricing states that:
\begin{align*}
\frac{X_0}{N_0} &= \mathbb{E}^N{ \left[ \frac{X(t)}{N(t)}|\mathcal{F}_0 \right] }
\end{align*}
The usual conditions apply ...
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This question is in regards to incomplete markets where multiple risk-neutral measures exist. I am a little bit confused by this idea. Say we have an incomplete market with only one stochastic process ...
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I got extensive experience on algo trading for cash equity, FX, so just wondering any algo strategy popular for vanilla bond trading?
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Greatest hits from previous weeks:
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There seems to be a thin line between risk transfer and risk sharing. Can someone explain with example how can this be differentiated?
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Let the Black-Scholes formula be defined as the function $f(S, X, T, r, v)$.
I'm curious about functions that are computationally simpler than the Black-Scholes that yields results that approximate ...
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Not sure if this is a relevant question for site, but I am looking to move to www.eoddata.com as my data source.
If anyone has used it, can you tell me how the data quality is ?
I am currently ...
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What is an efficient data structure to model order book of prices and quantities to ensure:
constant look up
iteration in order of prices
retrieving best bid and ask in constant time
fast quantity ...
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I am looking for one line formula ideally in Excel to calculate stock move probability based on option implied volatility and time to expiration?
I have already found a few complex samples which took ...
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Seem to be confused over the difference between PV01 of a bond and DV01 of the bond.
PV01, also known as the basis point value (BPV), specifies how much
the price of an instrument changes if the ...
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This question has been bugging me for awhile now and I've been trying to find a definite answer, however, no avail...
My question, in specific, relates to the USD/CNH CCS rate. From what I understand ...
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Can you answer these questions?
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A am currently reading a manual on how to use some actuarial modelling software to project the expected liability payments made under an annuity contract. In this guide, the following statement is ...
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I am using a dynamic programming approach to price European options where formulate the pricing as a discrete-time continuous-space Markov Decision process. The MDP is risk-sensitive as in I don’t ...
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Is it valid to apply GRS-test (Gibbons, Ross and Shanken 1989) on non-normal and autocorrelated residuals?
I got residuals using 10 test-assets regressed on 3-factor and carhart.
If it is valid, how ...
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