# All Questions

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### Why is higher the call price, the higher the price of a callable bond?

I am preparing for FRM level 2, but I ran into a question whose answer was confusing to me: In the answer, it says "all other things remaining the same, the higher the call price, the higher the ...
78 views

### Relationship mean variance efficiency and skewness of the return distribution?

I am wondering what the relationship is between skewness, kurtosis and mean variance efficiency is. Is it correct that particular investors are willing to give up mean variance efficiency in return ...
26 views

### Finding new convert issuances [on hold]

What is the best way to find new convert bond issuances? I have access to a Bloomberg terminal and google, and between the two I feel I ought to be able to find new issuances, but I can't. Every time ...
113 views

### stochastic dominance displaced diffusions

Suppose I have two processes both satisfying a displace lognormal diffusion: $$dX(t) = \alpha(t)[X(t) - a] dW(t)$$ $$dY(t) = \beta(t)[Y(t) - b] dW(t)$$ Note that the processes are perfectly ...
43 views

### financial markets

Let's suppose the following model of financial markets : Market-Maker : the sell financial derivatives, the hedge all the risk after calculating their sensibilities to market risk factors. Thus ...
41 views

### theta for SPX options vs. E-mini future options

Interactive Brokers currently shows the following data for SPX options at strike 3000 and expiry 2020-09-17: calls: bid/ask 234.10/236.30, theta -0.362 puts: bid/ask 146.70/148.40, theta -0.225 Then ...
107 views

### Is there an asset pricing model that actually works? Can you point me to research that test APMs?

As far as I know there is no APM that is able to explain all stock market anomalies. However, my search for papers empirically test a set of widely accepted APMs was not very successful. I would like ...
323 views

### Numerical simulation of Heston model

I am trying to simulate on Python random paths for a general asset price as described by the Heston model: \begin{equation} \begin{aligned} dS_t &= \mu S_t dt + \sqrt{\nu_t} S_t dW^S_t \\ d\nu_t &...
66 views

### Introducting a new probability measure

I'm trying to understand what means : $$\frac {d \mathbb {\tilde{P}} }{d \mathbb P } \bigg\rvert_{\mathcal F_t }$$where $\mathcal F_t$ is a filtration I guess (not explicitely mentionned). they ...
38 views

41 views

### Why co-terminal swaptions are that important?

Usually Hull & White is calibrated to co-terminal swaptions. When asking why specifically co-terminal, I get the response that it is just a choice and it depends on the use we intend to do with ...
199 views