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Questions (41)

 8 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 7 How can we have negative probabilities in finance? Can we have negative payments in bonds? If not, how else can we have negative probabilities? 6 Can the concept of negative probabilities be used to price a call option? 6 How to use the Girsanov theorem to prove $\hat{W_t}$ is a $\hat{\mathbb P}$-Brownian motion? 5 Pricing when arbitrage is possible through Negative Probabilities or something else

Reputation (241)

 +5 Actually benefiting from logistic regression to estimate probability of default +5 Can we 'predict' the delta of a stock? The delta of a stock is $\pm 1$ right? +10 Pricing when arbitrage is possible through Negative Probabilities or something else +5 Can the concept of negative probabilities be used to price a call option?

 2 For Probability of Default in retail credit what is more popular logistic regression or GLM with Poisson distribution and why? 1 How to compute the variance of this stochastic integral? 1 Asymmetric Random Walk / Prove that $E[T:= \inf\{n: X_n = b\}] < \infty$ 1 Prove $E_{\mathbb Q}[X_t | \mathscr F_u] = X_u$ given $Y_t$ is a martingale 1 Maximizing utility subject to a wealth constraint

Tags (75)

 2 stochastic-calculus × 17 2 regression × 4 2 probability × 14 2 credit-risk × 3 2 stochastic-processes × 12 2 logit × 2 2 martingale × 6 2 poisson 2 credit-scoring × 4 1 differential-equations × 5