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# Quantitative Finance : Recent Questions and Answers (Page 4)

## 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

## 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...

## 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...

## 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...

## (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...

## 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...

## 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...

## 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 ...

## 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...

## 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: $E[X_{t+tau} | X_t] = X_t$....