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2 votes

A quant job interview question about (toy) futures

I gave this problem an attempt, but I'm very rusty. All comments and corrections are appreciated. For random variables we use, let's just assume they're nice and have finite expectation and variance. $...
Rylan's user avatar
  • 625
2 votes
Accepted

Is stochastic control with the HJB equation used in market making/algo trading at institutions?

I would say that there are two things that we can talk about: Research purpose Real Trading Those models are a good thing to start when you try to build something that has to have characteristics of ...
ltrd's user avatar
  • 501
2 votes

References for Stochastic Control for finance

it is a bit late but the 2007 book "Applied Stochastic Control of Jump Diffusions" from Oksendal and Sulem is quite good too.
pierrot's user avatar
  • 96
2 votes

How do you actually solve a stochastic HJB equation in practice?

An HJB is made of two components: a "core component" that corresponds to applying an optimal control the "dynamics" of the value function (that is surrounding this optimizattion). ...
lehalle's user avatar
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1 vote

A quant job interview question about (toy) futures

First, the majority of this answer is due to Rylan whose answer gave me the idea of reducing the number of states to 5. This then allowed me to avoid the use of Bellman's equation which is probably ...
mark leeds's user avatar
  • 1,140
1 vote

Beta Weighting Deltas: What happens to the non-correlation part?

"At Beta=1 the underlying is expected to be as volatile as the index as well as move (more or less) together with the index." is not right. Beta has nothing to do with volatility, at-least ...
Arshdeep's user avatar
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1 vote
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non-Markovian/path-dependent optimal log utility and HJB-PDE

"Has anyone used this functional calculus to generalize the HJB-PDE from Markovian SDEs to non-Markovian SDEs? Can we simply write down the HJB-PDE with his new notions of derivatives and obtain ...
GeekBoy's user avatar
  • 26

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