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Confounded
  • Member for 7 years, 9 months
  • Last seen more than a week ago
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question
6
Estimation of Radon–Nikodym derivative from historical returns and option price data
Apr 9, 2019
question
5
Missing data in historical simulation VaR
Sep 3, 2019
question
4
Are all changes of measures for continuous diffusion processes given by the change of drift?
Apr 11, 2019
question
4
Kurtosis in GARCH
Oct 1, 2018
question
4
SDE for option value
Oct 23, 2018
question
3
Change of measure when calibrating real-world dynamics
Jun 7, 2018
question
3
Pricing of compounded swaps
Nov 19, 2019
question
3
OIS curve convexity adjustment
Nov 29, 2019
question
2
Heath–Jarrow–Morton under real-world measure
May 29, 2020
question
2
Bond prices at future times under Vasick one-factor model
Jun 5, 2018
Top network posts
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7
Distribution of maximum of partial sums of independent random variables
5
Autocovariance of Ornstein–Uhlenbeck and AR (1) processes
5
If $(X,Y) \sim \mathcal N(0,\Sigma)$, are $Z = Y - \rho\frac{\sigma_Y}{\sigma_X}X$ and $X$ independent?
5
IRLS for truncated normal GLM
5
Extract mantissa, exponent and sign data from IEEE-754 double in VBA