# Questions tagged [mathematics]

The tag has no usage guidance.

24 questions
1answer
170 views

### Math basics of Equally-weighted Risk contributions

i'm writing my BA Thesis about "Equally-weighted Risk contributions". Can anyone recommend math books for further understanding of Risk contributions?
0answers
314 views

### Proving the asymptotic distribution of Manipulation-Proof Performance Measure (MPPM) (Paper by Goetzmann et al.)

In Goetzmann et al.'s (2007) paper, the authors derive a "Manipulation-Proof Performance Measure" (MPPM), which is a performance measure that is impervious to performance manipulation by fund managers....
0answers
224 views

### Show that in an arbitrage-free and non-redundant market a certain set is compact

Some notation: We consider a financial market with $d+1$ assets, the $0$-th asset is considered the risk-free asset, the others are the risky ones. The vector $\overline \pi \in \mathbb R^{d+1}$ ...
0answers
32 views

0answers
77 views

### Deriving Cox, Ingersoll and Ross expression for the relationship between forwards and futures, how do they conclude a specific step?

I'm trying to derive a specific relationship about the relationship between forwards and futures from "The relationship between forward and futures prices", written 1981 by Cox, Ingersoll and Ross (...
0answers
29 views

0answers
64 views

### Anti-thetic sampling and second moment matching

Background: This is in reference to ch 7 problem 10 of Mark Joshi's concepts of mathematical finance. Question: A normal random generator produces the following draws: 0.68, -0.31, -0.49, -0....
0answers
78 views

### Why do we have to use discretization methods for SDE?

I haven't found the answer for the question above in google. Why can't we just discretize the equation instead of using methods like euler or milstein for the discretization.