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BCLC
  • Member for 10 years
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9 votes
1 answer
585 views

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

1 vote
2 answers
3k views

Arbitrage free implies complete market in general binomial model?

0 votes
1 answer
239 views

Is it fair in an introductory stochastic calculus/derivatives pricing class to ask for the price when absence of arbitrage is violated? [closed]

1 vote
1 answer
238 views

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

5 votes
3 answers
1k views

Pricing when arbitrage is possible through Negative Probabilities or something else

3 votes
2 answers
898 views

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

2 votes
2 answers
215 views

$E[F_T] = F_0$ implies $p = \frac{1-d}{u-d}$? or is implied by?

3 votes
0 answers
435 views

What exactly is/How exactly do we interpret the binomial model's Radon-Nikodym derivative?

-3 votes
1 answer
397 views

Can we 'predict' the delta of a stock? The delta of a stock is $\pm 1$ right? [closed]

8 votes
7 answers
3k views

Do quants need to know Accounting?

6 votes
2 answers
413 views

Can the concept of negative probabilities be used to price a call option?

1 vote
2 answers
302 views

Differential of stochastic term

4 votes
3 answers
573 views

Show that $E[B_t|\mathscr{F}_s] = B_s$ for $B_t = W_t^3 - 3 t W_t$

0 votes
1 answer
210 views

What relevance might the Modigliani-Miller theorem have for weight of evidence?

2 votes
1 answer
455 views

Prove that $E[g(X_T)|\mathscr F_t] = E[g(X_T)|X_t]$

2 votes
1 answer
259 views

Girsanov theorem and default rates in bond credit rating

2 votes
1 answer
399 views

What is the filtration described?

7 votes
2 answers
662 views

How can we have negative probabilities in finance? Can we have negative payments in bonds? If not, how else can we have negative probabilities?

10 votes
1 answer
1k views

Given $\mathbb Q$ and $X_t$ is $\mathbb Q$-Brownian, find $\frac{d\mathbb Q}{d\mathbb P}$ / Uniqueness of Brownian or Radon-Nikodym derivative

1 vote
1 answer
282 views

Prove uniqueness, and prove $Y_t$ is a martingale by considering $dZ_t$ and $dL_t$

0 votes
1 answer
139 views

Does presence of arbitrage necessarily make all derivatives have zero value?

7 votes
1 answer
2k views

How to use the Girsanov theorem to prove $\hat{W_t}$ is a $\hat{\mathbb P}$-Brownian motion?

3 votes
2 answers
217 views

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

4 votes
1 answer
769 views

Solving a backwards heat equation using stochastic calculus

2 votes
1 answer
91 views

Asymmetric Random Walk / Prove that $T:= \inf\{n: X_n = b\}$ is a $\{\mathscr F_n\}_{n \in \mathbb N}$-stopping time

0 votes
1 answer
99 views

Finding circumstances for price of call = price of put

2 votes
0 answers
185 views

Bayesian logit model in Psychometric or Behavioural Testing for Credit Scoring in Developing Countries

1 vote
2 answers
80 views

Incorrect characterization of spot rate?

1 vote
1 answer
137 views

Differential equation involving bond price and forward rate

2 votes
1 answer
2k views

Actually benefiting from logistic regression to estimate probability of default