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Questions related to collateral, from impact on theoretical valuations to operational aspects of collateral posting.
one where the market price is an unbiased estimate of the true value of the investment.
widely used in finance since it is about decision taking in a random environment. Option replication, portfolio construction, intraday trading are typical applications of stochas…
High frequency (or ultra high frequency) data cannot be used as continuous regularly sampled time series to build estimators of: volatility, traded volumes, correlations, etc...
a financial model of interest rates. It is used for pricing interest rate derivatives. The quantities that are modeled are a set of forward rates (also called forward LIBORs)…