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Quantitative Finance : Recent Questions and Answers (Page 4)

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

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

Choosing which interest rate model to go with?

I've been assigned with the task of modelling zero rate curve. I did it with two models: Vasicek and CIR. Looking at the two curves produced, I can see that...

Asked on 10/27/2021 by Sizirr01

1 answer

Market Making Formulation

I'm developing a deep reinforcement learning based approach to market-making. In order to implement this, I need to define the appropriate actions and define environmental steps. While doing some literature...

Asked on 10/27/2021 by BGa

0 answer

(Self-study) Futures, bonds, and arbitrage

I'm currently self studying futures, so I'm sorry if this questions comes off a bit stupid. I'm currently reading a book by Walsh, J.B. Knowing the Odds: An Introduction to...

Asked on 10/27/2021 by Idrees

1 answer

Which measure is used to price a swap?

When we value the floating leg of a standard vanilla swap, we replace the expectation of the future floating rates by the forward rates known today. However my understanding is...

Asked on 10/27/2021

3 answer

Oil price model calibration with Kalman Filter and MLE in python

I am trying to calibrate a one-factor mean-reverting process in python 3. The process is defined as: begin{equation}dX = k(alpha - X)dt + sigma dW,end{equation} where...

Asked on 10/27/2021 by gte

2 answer

Limit of conditional expectations (when limit linked to the conditionning)

I am working with conditional expectations and am trying to derive a limit property. Consider $(Y_n)_{n in mathbb{N}}$ a sequence of square integrable random variables, that converge in ...

Asked on 10/27/2021

0 answer

Non-Linear Time-Dependent Volatility

My data consist of monthly electricity futures contracts. Unlike other commodities, electricity is delivered throughout a month (rather than on a specific date), which means that, as the active month...

Asked on 10/27/2021

0 answer

Fama: Efficient Capital Markets: A Review of Theory and Empirical Work - are martingales incorrect?

In his paper, Eugene Fama gives the definition of a "fair game" as given below. I disagree. AFAIK, a martingale has the following property: $E[X_{t+tau} | X_t] = X_t$....

Asked on 10/27/2021 by s5s

1 answer

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