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Kurtosis in GARCH

garch kurtosis

Oct 2 '18 at 14:54 Matthew Gunn 5,254

votes

answers

772

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Is it possible to deal with non-normal distribution in Black-Litterman model?

portfolio-optimization distribution black-litterman

Feb 3 '16 at 17:55 Alejandro Andrade 344

votes

answer

825

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Struggling with tau in Black-Litterman

finance portfolio-optimization optimization finance-mathematics black-litterman

Jul 25 '18 at 19:32 Tim Wilding 1,206

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answer

307

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Black Litterman: Is it possible to have multiple views (from different sources) on the same asset?

portfolio-management modern-portfolio-theory portfolio-optimization factor-models black-litterman

Mar 6 '19 at 1:25 Alex C 8,626

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answer

11k

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Duration of a floating rate note

fixed-income programming

Jul 13 '19 at 12:43 wormeer 3

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answers

views

What study has shown that “about two thirds of acquisitions end up destroying shareholder value”?

equities research

May 28 '17 at 21:56 Franck Dernoncourt 497

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answer

views

How are Brownian Bridges used in derivatives pricing in practice?

option-pricing monte-carlo brownian-motion simulations

Nov 17 '17 at 22:31 Yian Pap 511

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answer

views

How to trade interest rate futures calendar spread?

fixed-income futures valuation spread

Nov 1 '16 at 17:12 Helin 9,572

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answers

187

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Dividend paying asset, why can't be taken as numéraire?

risk-neutral-measure numerairechange

Sep 13 '18 at 15:53 user30614 187

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answer

228

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Pricing bonds of float coupon rate by stochastic interest rate

bond

Jan 18 '16 at 20:00 Gordon 18.5k

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answer

244

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Do Perpetual American Options have closed form functions to compute the Greeks?

options american-options greeks

Jul 19 '19 at 7:19 Kevin 8,748

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sharp ratio/sortino ratio for options portfolio

sharpe-ratio option-strategies

May 14 '19 at 20:38 Tom Bennett 231

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answers

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Lower bound for Bermudan Option Price

option-pricing american-options bermudan

Feb 5 at 17:40 siou0107 1,735

vote

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223

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What is the other type of impact of dividends on the stock price in this formula?

options option-pricing equities black-scholes dividends

Apr 28 '17 at 14:12 Quantuple 12.5k

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When a stochastic volatility model is calibrated?

stochastic-volatility

Jan 20 '19 at 15:03 Community♦ 1

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Kurtosis in GARCH

Is it possible to deal with non-normal distribution in Black-Litterman model?

Struggling with tau in Black-Litterman

Black Litterman: Is it possible to have multiple views (from different sources) on the same asset?

Duration of a floating rate note

What study has shown that “about two thirds of acquisitions end up destroying shareholder value”?

How are Brownian Bridges used in derivatives pricing in practice?

How to trade interest rate futures calendar spread?

Dividend paying asset, why can't be taken as numéraire?

Pricing bonds of float coupon rate by stochastic interest rate

Do Perpetual American Options have closed form functions to compute the Greeks?

sharp ratio/sortino ratio for options portfolio

Lower bound for Bermudan Option Price

What is the other type of impact of dividends on the stock price in this formula?

When a stochastic volatility model is calibrated?