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### How to show that this weak scheme is a cubature scheme?

Weak schemes, such as Ninomiya-Victoir or Ninomiya-Ninomiya, are typically used for discretization of stochastic volatility models such as the Heston Model. Can anyone familiar with Cubature on ...
It is known (see for example Joshi-Chan "Fast and Accureate Long Stepping Simulation of the Heston SV Model" available at SSRN) that for a CIR process defined as : $$dY_t= \kappa(\theta -Y_t)dt+ \... 0answers 1k views ### Testing Valuation, Size and Momentum (proprietary factors) from 1988-2013: No evidence of driving cross-sectional returns I am currently testing whether three proprietary factors - Valuation, Size and Momentum - explain cross-sectional returns. A sample of 3000 securities was tested using Fama-MacBeth two-pass ... 0answers 129 views ### Is there a relationship between Risk Neutral Pricing framework and Nash Equilibria? Based on the Fundamental Theorem of Asset Pricing, the risk neutral price of a contingent claim on an asset in a liquid, arbitrage free market can be determined by switching to an equivalent Q- ... 0answers 388 views ### Local Stochastic Volatility - Break even levels In Chapter 12 of his excellent book Stochastic Volatility Modeling, Lorenzo Bergomi discusses the topic of local-stochastic volatility models (LSV). As most of you are probably aware of, the idea is ... 1answer 375 views ### Questions on Kelly criterion I am new to asset allocation problems and have some concerns regarding the derivation of the continuous-time Kelly criterion (i.e. not the original version destined to discrete sports betting/Casino). ... 1answer 723 views ### Stochastic modelling of derivatives on dividends I consider pricing and risk analysis of derivatives on dividends of the members of equity indices (such as Dow Jones EuroStoxx). There are options but I focus on futures. What are common stochastic ... 2answers 613 views ### Implied term structure from risky discount curve: does it make sense? We know that, taken every discount curve, it's possible to calculate its forward rates according to our tenor preferences. We know also that it's actually possible to extract an implied term ... 0answers 298 views ### Proving the asymptotic distribution of Manipulation-Proof Performance Measure (MPPM) (Paper by Goetzmann et al.) In Goetzmann et al.'s (2007) paper, the authors derive a "Manipulation-Proof Performance Measure" (MPPM), which is a performance measure that is impervious to performance manipulation by fund managers.... 0answers 473 views ### Optimization procedure for entropy pooling I was wondering if those who used the entropy pooling code provided by Attilio Meucci had issues with the optimization procedure (especially regarding the fminunc function in Matlab). When I stress ... 0answers 516 views ### Can we use White's reality check to compare two Sharpe ratios? I read a paper from Ledoit and Wolf that proposes a method to compare two Sharpe ratios and a paper from White that proposes a method to compare n trading rules. My question is: Can we use White's ... 1answer 2k views ### Estimating Parameters - Vasicek The Vasicek model for the short rate r_t is given by the SDE$$ dr_t = \alpha(\beta - r_t)dt + \sigma dW_t, $$where W_t is a Brownian motion under the physical measure. I'd like to compute bond ... 0answers 263 views ### Here is an approach for measuring Data Snooping; is it new? I came up with an approach for measuring data snooping, or overfitting. My question is whether this approach was published and expanded-on already, or is it new? My approach relies on the observation ... 1answer 465 views ### Distribution of hitting time of the integrated CIR process If an increasing process X_t has a known Laplace transform \mathbb{E} e^{-s X_t} = m_t(s), define its hitting time \tau to some level B to be$$ \tau = \inf\{ u > 0 : X_u \geq B \}.  Can ...
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 ...