Tags

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Questions related to collateral, from impact on theoretical valuations to operational aspects of collateral posting.
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one where the market price is an unbiased estimate of the true value of the investment.
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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…
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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...
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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)…