# All Questions

12,298 questions
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### Examples of Spectral Risk Measures

Let's take the usual definition of a spectral risk measure. If we look at the integral we see that spectral risk measures have the property that the risk measure of a random variable $X$ can be ...
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### Are all changes of measures for continuous diffusion processes given by the change of drift?

In elementary discussions on change of measure for geometric Brownian motion, one often find statements like "change of measure = change of drift". Given a general continuous diffusion process of the ...
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### Is the local volatility linear if smile is linear?

Assume $dS = S_t\sigma(S_t,t)dW$. Given a implied volatility smile which is linear in, say, $(K - S_0)$, (we know its intercept and slope), we wish to calibrate $\sigma(S_t, t)$ to it. Will it too be ...
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### Risk neutral measure doubt

For a derivative in a complete market, we can say that: $h_0 = E(h_t)$ assuming 0 risk free rate. Is the above relation also valid for a stock/ non derivative i.e. $s_0 = E(s_t)$ under the same risk ...
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### How to 'Decompose the volatility of IBM into systematic and idiosyncratic volatility.'

This is a past exam question for a second year University exam on Financial Economics and Capital Markets: Your investment portfolio consists of £10,000 invested in only one stock, IBM, with an ...