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Quantitative Finance : Recent Questions and Answers (Page 2)

Find answers to your questions about Quantitative Finance or help others by answering their Quantitative Finance questions.

Does bond market trading price has recovery assumption in mind?

We all know fixed income seucirties have default risk which can be generated from CDS market. However, I am curious if the market trading price of a bond (say, $105)...

Asked on 11/11/2021 by HoldBreath

1 answer

Has spectrum analysis ever been used successfully to analyse historical price data?

Spectrum analysis is often used to analyse waveforms. A common configuration, for example, is to create a graph where X is time, Y is frequency, and the brightness of each...

Asked on 11/08/2021

9 answer

Bayesian analysis in R for low default portfolios

I want to apply the knowledge of this paper (Bayesian estimation of probabilities of default for low default portfolios, by Dirk Tasche) in R, but I can't find the right...

Asked on 11/08/2021

1 answer

Long positions (call or put) have positive gamma, and short positions (call or put) have negative gamma

I was reading a lot about the idea that long positions (call or put) have positive gamma, and short positions (call or put) have negative gamma. But I couldn't understand...

Asked on 11/05/2021 by Guess601

1 answer

Euler Discretization to use with Monte Carlo simulation and Local Volatility Model

Like in the title, I am working on running Monte Carlo simulations to price options with the Local Volatility model as a project. I just want to make sure that...

Asked on 11/05/2021

1 answer

Spread sensitivity of TRS

I am about to understand the valuation of a TRS. The approach I am applying derives risk neutral survival / default probabilities from the ratio between risk free and spread...

Asked on 10/27/2021 by CodeMonkeyAtWork

0 answer

Which financial time series have a PDF and/or CDF?

Consider the following types of financial time series for a single publicly-listed stock:Price dataLog returnsCumulative returnsEach is computed from the item listed before it: log returns are based on differences...

Asked on 10/27/2021

1 answer

Vasicek model - Bond price and volatility

Why does the bond price under the Vasicek model increase as the rate volatility increases? What is the intuition behind this?...

Asked on 10/27/2021 by actuarialboi9

1 answer

How is the implied risk neutral density affected when changing numeraire?

For example i would like to pricebegin{equation*}E^{Q} left[ e^{-int_{0}^{T}r_{s}^{cur}ds} f left( S_{T_f}^{cur_1} right) | mathcal{F}_{0} right] = B_{cur}(0,T)E^{Q^{cur}_{T}}[ f(S_{T_f}^{cur_1})|mathcal{F}_{0}]end{equation*} I have at my disposition the...

Asked on 10/27/2021 by Kupoc allahoui

0 answer

Good Quant-Finance Interview Questions

I know there's the book by the late Mark Joshi and there is a lot of content on the internet. I thought it could be beneficial to additionally start a...

Asked on 10/27/2021

4 answer

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