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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

1Spectrum 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

9I 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

1I 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

1Like 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

1I 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

0Consider 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

1Why 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

1For 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

0I 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

4Get help from others!

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