# All Questions

12,477 questions
9 views

### Extreme Value Simulation from Copulas with Monte Carlo

I'm trying to simulate the tail values from a multivariate distribution using copulas. I'm using Vine Copula package of R to derive the suitable copula for my data and I generate random samples out of ...
7 views

### Correlations between different baskets of assets

Struggling to see the answer to the following problem - Assume you have $N$ different assets, and all pair-correlation coefficients $\rho_{ij}$ between them are known. If you now form two arithmetic ...
21 views

### Ito formula (lemma) problem

I am trying to solve this problem Consider the following one-dim. stochastic process $$dX_t = b_t dt + \sigma_t dW_t$$ where $W$ is a one-dim. Brownian motion. The above SDE is well-defined. ...
18 views

### Why are FRA/futures convexity adjustments necessary?

This would be my explanation for the reason that convexity adjustments must exist: Futures are margined daily, such that if a trader is paid a future and rates goes up then money is paid into their ...
9 views

### What is the log return of stock price? [on hold]

I am trying to understand what is the definition of log return of a stock on a particular day? I am confused because the previous day's closing price does not equal to the opening price of next day, ...
11 views

### How to create an Efficient Frontier graph with one constant asset at 5% of the portfolio and two other assets fluctuate between remaining allocation?

Creating an Efficient Frontier graph with Stocks and Bonds over a 0%/100%, 10%/90%, 20/80%, ....
14 views

### Filtrations and the different “kinds” of pre-knowledge

I am searching for a reference I think I saw in a book by either Shreve or Oskendahl. I am struggling with a theoretical question. As I recall how it was posed, the idea of no prior information (or ...
24 views

18 views

### Why no median-CVaR optimization for portfolios?

Question Since CVaR is a concept that can be applied to all probability distribution, even if they do not follow normal distribution, I thought CVaR should be more concerned with median, not the ...
52 views

### How to add Risks-Not-In-VaR (RNIV) to VaR under Basel III

I am trying to generate/prove the magnitude of the over-conservativeness of the regulatory VaR (internal models) under Basel III against what a more accurate VaR would be. However, I can't seem to ...
56 views

### Why can we assume that asset return rates are normally (or lognormally) distributed?

In many theories of financial mathematics it is assumed that asset return rates are normally distributed (e.g. VaR models) or lognormally distributed (e.g. Black-Scholes model). In practice, asset ...