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# Quantitative Finance : Recent Questions and Answers (Page 3)

## 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...

## 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...

## 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)...

## 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...

## 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...

## 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...

## 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...

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...

## 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...

## 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?...