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Quantitative Finance : Recent Questions and Answers (Page 3)

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

How do farmers use futures when they are not physically settled

I was wondering how farmers use futures when they have a production ability but cannot sell what they produced ? Is the exchange not used for physically delivering products, then...

Asked on 11/13/2021

1 answer

Low volatility in factor regression

Let's say we are working with the standard Fama-French 3 factor model and we want to add a low volatility factor. Is it alright to add a low volatility risk...

Asked on 11/13/2021 by Circus_beta

1 answer

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

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