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To discover trading prices of high volatility, I measure the standard deviation of two currency pairs using a simple example:prices_currency_1 = [1, 100]prices_currency_2 = [.1, 10]The standard deviation of...
Asked on 12/17/2021
5 answer1 - I am trying to understand the concept of EVT and how we are able to calculate VaR and ES from that. I would like to understand the maths...
Asked on 12/14/2021
3 answerI get that the premium for an earlier exercise should be higher to compensate the seller but intuitively you would think that the spot has "less room to run" in...
Asked on 12/14/2021 by Joshua Fernandes
1 answerI want to estimate/predict the volatility of the currency exchange rate.I have checked in literature a few models from very simple PPP to econometric factor model forecasting, to GARCH...
Asked on 12/14/2021
1 answerhow can we use auto correlation plot or correlogram to interpret time series data? I have 6 different acf plots (a,b,c,d,e,f), from this 6 plots what kind of informations and...
Asked on 12/14/2021 by Eka
2 answerI am kinda new to time-series analysis, I want model CEE (EUR/HUF, EUR/PLN, EUR/CZK, EUR/CHF) exchange rates with ARIMA. I understand that according to Box-Jenkins modeling, I should first check...
Asked on 12/14/2021 by Aron_t
2 answerI've been learning about Linear Diffusions and how their infinitesimal generators can be used to relate expectations and deterministic differential equations. Let $X$ be an one-dimensional diffusion with the...
Asked on 12/14/2021 by Victor Felipe
0 answerI'm in the early stages of developing a swaption pricing model. Suppose $t_1$ is the tenor of the swap rate in years, $F$ is the forward rate of the underlying...
Asked on 12/12/2021 by Vladimir Nabokov
0 answerArbitrage Pricing Theory makes the implication that statistical factors (i.e. those that explain covariances) imply pricing factors (i.e. those that explain returns). Is the reverse implication (i.e. pricing factor -->...
Asked on 12/12/2021
1 answerthis might be a bit of an open question but I would just like to understand further on the subject as I am rather new to machine learning and arbitrage...
Asked on 12/10/2021
0 answerGet help from others!
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