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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 answerI 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 answerMy 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 answerIn 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 answerI am calibrating the Heston model with sequential quadratic programming algorithm. It turns out that the volatility surfaces I am calibrating to can be fit very well with extreme values...
Asked on 10/27/2021 by starovoitovs
1 answerI'm going over the paper -Partial Differential Equation Representation of Derivatives with Bilateral Counterparty Risk and Funding Costs- from Burgard and Kjaer. There the following SDE is given...
Asked on 10/27/2021 by CA-Quant
2 answerCan you please explain Martingale Representation Theorem in a non-technical way that what is it and why is it required? Most of the stuffs I studied so far are quite...
Asked on 10/27/2021
2 answerThe Bloomberg USD swap curve (YCSW0023 Index) had changed and bloomberg put a Financial commodity future. Why changes? What the factor make this changes? Why bloomberg put into a financial...
Asked on 10/27/2021 by jonas.lima
1 answerContext: Most emerging/frontier markets have no or very thinly traded volatility surfaces for their equity markets (single name and indices alike), furthermore, they usually have restrictions on Short-Selling and Capital...
Asked on 10/27/2021 by Mercadian
1 answerMarkowitz's definition of an efficient portfolio is one that minimizes portfolio risk for a given level of expected return. He therefore calls portfolios along the efficient frontier "frontier portfolios" as...
Asked on 10/27/2021
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