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BCLC
  • Member for 10 years, 1 month
  • Last seen more than a week ago
  • Los Angeles, CA
5 votes
4 answers
4k views

Credit Rating or Probability of Default from Financial Ratios

8 votes
7 answers
3k views

Do quants need to know Accounting?

1 vote
2 answers
3k views

Arbitrage free implies complete market in general binomial model?

2 votes
1 answer
2k views

Actually benefiting from logistic regression to estimate probability of default

7 votes
1 answer
2k views

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

4 votes
3 answers
2k views

Determine $E[W_p W_q W_r]$

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

3 votes
1 answer
1k views

Get distribution for aggregate loss using Monte Carlo

5 votes
3 answers
1k views

Pricing when arbitrage is possible through Negative Probabilities or something else

1 vote
1 answer
1k views

Getting Parameter of Translated Gamma Distribution from Monte Carlo

3 votes
2 answers
905 views

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

4 votes
2 answers
874 views

Which is the correct definition of arbitrage?

2 votes
2 answers
821 views

Using Financial Ratios to get credit rating or PD

4 votes
1 answer
787 views

Solving a backwards heat equation using stochastic calculus

7 votes
2 answers
674 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?

9 votes
1 answer
590 views

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

1 vote
1 answer
584 views

Prove that the binomial algorithm implies the arbitrage free price at t=0 of a T-claim

4 votes
3 answers
580 views

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

3 votes
2 answers
549 views

Deriving credit spreads or migration matrices from prob of default

4 votes
2 answers
511 views

Inconsistent Definition of Arbitrage in Bjork?

2 votes
1 answer
458 views

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

3 votes
0 answers
437 views

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

1 vote
1 answer
434 views

Arbitrage Strategy Proof in Bjork

6 votes
2 answers
424 views

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

2 votes
1 answer
405 views

What is the filtration described?

-3 votes
1 answer
398 views

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

1 vote
2 answers
305 views

Differential of stochastic term

1 vote
1 answer
289 views

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

2 votes
1 answer
260 views

Girsanov theorem and default rates in bond credit rating

0 votes
1 answer
243 views

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