# All Questions

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### Link between spot and forward rates in no-arbitrage world

With reference to the forward exchange rate definition, let be: $S$: the spot rate $F$: the forward rate $r_d$ and $r_f$: respectively the domestic and foreign interest rates $DF_d$ and $DF_f$: ...
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### Relationship between Data Size and Arima Prediction Interval Width?

When we use Arima model to acquire Interval Predictions, will the width of prediction intervals decrease if we use more data (longer history) to fit the model?
34 views

### How to show if this is Martingale or not?

Consider the outcome of a game played by repeatedly tossing a fair coin, where you win a dollar if heads appears and you lose a dollar if tails appear, the outcome is denoted 𝑋1, 𝑋2,𝑋3, … . . 𝑋𝑛. ...
14 views

### MonteCarlo option pricing error estimate

Consider the problem of pricing an option via MonteCarlo with 10000 simulations. If the variance of the simulation is 100, which is the MC estimate of the error on the price?
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### Why is it not a markov process, but a martingale process?

I understand how the n+1 outcome depends on nth outcome, and nth outcome depends on n-1, but how to show it?
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### Updated Time Series Prediction Model When acquiring new data Points - Basic Question

Suppose I have a Time Series Model (assume ARIMA) and use it to make one-step ahead prediction. If I acquire a new data point, (for example I was originally using the first 100 days to fit an Arima ...
26 views

### How do we determine the “correct measure”?

Frequently I come across the statement that the "correct measure" for a product is this-or-that measure. For example, Eurodollar Futures or Stock returns - Risk neutral measure Libor forward rate - T-...
23 views

### How do we derive the Radon-Nikodym derivative for T-forward measures?

Let $Q^{T_e}$ denote the $T_e$-forward measure and let $Q^{T_p}$ denote the $T_p$-forward measure. I have seen the following Radon-Nikodym derivative being used in derivations. For $0 \le t \le T_p$, ...
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I understand that the par rate is the single discount rate that you would use to discount all of the bond’s cash flows to get today’s market price. I also see that assuming a spot rate function $R(t)... 1answer 29 views ### Cross Currency Swap - is par basis supposed to change while OIS discounting rate is changing? Assume a USDJPY cross currency basis swap priced using usd ois & usdjpy basis curve as discounting, and usd libor & jpy libor as projection curve. Now if usd ois is moving in the market while ... 3answers 6k views ### Where can I find a list of VaR and CVaR formulas for continuous distributions? Where can I find more VaR and CVaR formulas for continuous distributions? I collected a list here: 1answer 52 views ### Why does a Bermudan option have a higher implied volatility than its European counterpart? I get that the premium for an earlier exercise should be higher to compensate the seller but intuitively you would think that the spot has "less room to run" in a potentially shorter period of time (... 1answer 9k views ### Margin % Bridge - Effect of Price, Cost, Volume Given sales and profitability data for two time periods, how would I go about calculating the impact of price, cost, volume and mix margin % (bps)? I can do the analysis as a gross margin$ bridge, ...
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I am new to the CRSP database and wanted to ask if it's possible to download all the stock prices/returns (daily or weekly) of e.g. the NASDAQ Index (just like in Bloomberg)? And if yes, how exactly? ...
76 views