BCLC's user avatar
BCLC's user avatar
BCLC's user avatar
BCLC
  • Member for 10 years
  • Last seen more than a week ago
  • Los Angeles, CA
6 votes
Accepted

Prove $E_{\mathbb Q}[X_t | \mathscr F_u] = X_u$ given $Y_t$ is a martingale

3 votes

For Probability of Default in retail credit what is more popular logistic regression or GLM with Poisson distribution and why?

2 votes

Are the sin, cos, tan functions used in some financial calculations?

1 vote
Accepted

Maximizing utility subject to a wealth constraint

1 vote
Accepted

Asymmetric Random Walk / Prove that $E[T:= \inf\{n: X_n = b\}] < \infty$

1 vote

How to compute the variance of this stochastic integral?

0 votes

Dumb question: is risk-neutral pricing taking conditional expectation?

0 votes

Pricing when arbitrage is possible through Negative Probabilities or something else

0 votes

Differential of stochastic term

0 votes
Accepted

If we modify duration, should we modify bond price? Options Futures and Other Derivatives

0 votes
Accepted

Yield to Maturity

0 votes
Accepted

Differential equation involving bond price and forward rate

0 votes
Accepted

What is the filtration described?

0 votes
Accepted

Differential of stochastic term