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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 answerI 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 answerConsider 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 answerWhy 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 answerFor 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 answerI 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 answerI'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 answerI'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 answerI'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 answerWhen 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 answerGet help from others!
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