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Following along with E.P. Chan's book, I'm attempting to calculate the maximum drawdown and the longest drawdown duration from cumulative portfolio returns. He codes it in MATLAB, but I wanted...
Asked on 03/02/2021 by DickyBrown
2 answerI would like to forecast variance at time length $kdelta$ based on a price (return) time series of time step length $delta$. I will apply a GARCH(1,1) model...
Asked on 02/25/2021
1 answerThe time value of an deep ITM option usually is negative in the real world. I see deep itm options time value increase from negative to positive, why does it...
Asked on 02/16/2021 by Wei Wu
0 answerDiagonal Spread | Definition of a Diagonal Spread | tastytrade | a real financial networkThe trade will be entered for a debit. It’s important that the debit...
Asked on 02/10/2021
1 answerI would like to clarify a confusion I have. It is well known that a Wiener process (Brownian motion) is nowhere differentiable. I have no difficulty in understanding that. But...
Asked on 02/09/2021 by user144410
1 answerIs there any website for a detail chronological description of U.S. index futures market development? I have searched online for some time but unable to locate particular focus on index...
Asked on 02/08/2021 by Tsz Chun Leung
1 answeri'm trying to get payment schedule of a bond that pays coupon quarterly. value date is 2020-04-01, first coupon date is 2020-06-30, maturity date is 2022-09-30. so I expect to...
Asked on 02/08/2021 by user51725
2 answerI'm a market risk analyst intern and I've the opportunity to do a project related to it. So I would like to move towards SOFR and €ster transitions, I have...
Asked on 02/08/2021 by Browl
0 answerI've been learning about Feynman-Kac recently and I understand the underlying ideas. I am stuck however in actually computing explicit solutions for specific problems. For example, assume that $S_t$...
Asked on 02/06/2021 by Moh514
0 answerI am trying to estimate the Credit VaR for a portfolio of two risky bonds. The Credit VaR is defined as the maximum unexpected loss at a confidence level of...
Asked on 02/05/2021
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