# Questions tagged [distribution]

The tag has no usage guidance.

107 questions
Filter by
Sorted by
Tagged with
31 views

### Skewness and kurtosis measures when full distribution is not available

I have asked this question here, but did not get any answer. I was wondering if anybody knows a method of deriving skewness and kurtosis measures from different quantiles, mean, and/or variance. I do ...
112 views

### Two Probability Questions from Quantitative Finance Interview Book

I posted the two questions in math stack exchange one month ago but cannot get an answer, so I post it here and appreciate your advice:) I'm reading an interview book called A Practical Guide to ...
153 views

### How would a FX price probability distibution function look?

I would like to see how the currency price levels are distributed in a probability function. But I don't even know if there is such a thing or if perhaps its just common knowledge and readily ...
3k views

### Consensus on Cauchy distribution for stock prices

What is the general consensus for using a Cauchy distribution to model stock prices? I can't find much after researching online and wonder if it has been tried and discarded. My motivation is to find ...
38 views

### Market vs. Credit Loss distributions: differences

If we define the Loss distribution of a portfolio as $$L_{t+h}=-(V_{t+h}-V_{t})$$ where $V_{t}$ is the value of the portfolio at time $t$ and $h$ is the time horizon, which are the (graphical) ...
101 views

### How to price a barrier using monte carlo when return distribution is not iid?

this question is actually related to set the stop loss and stop return. Say after a liquidity shock, I want to place two stops, one being stop loss and another being stop return. If I use, say 10 ...
50 views

### Example how to model stock price with Pareto distribution according to Mandelbrot and Taleb

There's a paper by B. Mandelbrot and N. Taleb Mild vs Wild Randomness that says that Pareto distributions is a better fit for modelling price changes. ...
21 views

### Symmetric Power law or Pareto distribution

Also known as Pareto-distribution ...
104 views

### Produce the random variable for an asset from a uniformly distributed random varible

I'm working on a quant interview question from the book called Quant Job Interview Questions And Answers (by Mark Joshi and other authors). I cannot understand the following question(not the answer, ...
158 views

289 views

### Log normal price simulation

I'm trying to figure out a spreadsheet I have which simulates 50000 returns in excel using the following function: LOGNORM.INV(RAND(),0,0.35)-1 Question: How ...
59 views

### Quantile with periodic investing

Short Version Can I get a quantile of such an expression? \begin{equation} \sum_{k=1}^{n} A_k\exp(\mathcal{N}(t_k\mu-\sigma\sqrt{t_k}/2,\sigma))) \end{equation} I know I can do it for one part of ...
279 views

### Quantile normal and lognormal

Let's assume we have a normal distribution $X\sim \mathcal{N}(\mu,\sigma^2)$. In a normal distribution the quantile can be calculated as follows: \begin{equation} \Phi_X ^{-1}(p)=\mu +\sigma {\sqrt {...
155 views

### Why/When local volatility is preferred over implied distribution sampling?

Let's say we have an option whose payoff is path dependent (let's say it's asian option with observations every month). Then why these are usually priced with local vol instead of sampling from ...
266 views

### Distribution of realized volatility for stock prices from a GBM

If you generate random stock price paths according to a GBM with daily increments, what will be the distribution of the realized volatility? Assume that the realized volatility is measured over daily ...
76 views

### How to compute Pr(S>100) when S follows Geometric Brownian Motion?

I have been trying to resolve this problem, under (b), but I cannot find the correct answer. For i=1, my ultimate answer (P=1) deviates from the correct answer (P=0.7580). Please let me know whether ...
119 views

### Why do I get this error using ghyp-distribution function?

I want to fit multivariate GH distribution on my data, and then generate simulations for that distribution. Using the instructions given in ghyp package, I wrote following lines of code in R. ...
195 views

### Question on implied vol (surface) and strikes

there have been loads of papers on skews ATM / OTM, volatility premium and such. Lots of explanations for why iv is different on same stock with different strikes focused on preference of informed ...
How do you simulate an exponential random variable over an interval $[0, T]$ with $T > 0$?