stochastic-processes

  1. Continuous returns in BS-market
  2. What is a stochastic processes which reasonably captures commodity price dynamics?

  3. Properties of Geometric Brownian Motion Integrated w.r.t. Time
  4. Computing Malliavin Derivative for European Call Payoff

  5. Self finance conditions - proof check
  6. Show that the two solutions of the SDE are equivalent

  7. Have I used correct state space formulation of Bivariate Trending OU process for Kalman Filter estimation?

  8. Is there an intuitive explanation for why Kelly gambling ignores odds?

  9. Why do we usually use normal distribution and not Laplace distribution to generate stochastic process?
  10. Relationship between two Brownian motions generated by equivalent martingale measures
  11. Model selection given return and variance?

  12. Estimation of the drift of a non-stationary process
  13. What is the probability of two independent OU processes being above barriers at the same time?

  14. Monte Carlo Simulation of Spread Strategy. Two correlated assets vs One spread simulation?

  15. Ornstein–Uhlenbeck process

  16. How to, from various hypotheses on the P&L, get known models (BS, Heston etc ...)

  17. Good introduction to estimating stochastic diffusion processes?

  18. Variance of options returns

  19. Modeling Long-Term Mean Reversion in Asset Returns

  20. Are processes with independent increments (which are not Lévy) used in finance?
  21. Stochastic Calculus: How to test for dependency of random variables
  22. Two Wiener process under same martingale measure Q

  23. Test if a process (with no drift) is a martingale
  24. What is an adapted process
  25. Previsibility in Binomial Representation Theorem

  26. Showing a portfolio is a self financing portfolio

  27. Interpreting Units of Short Rate Parameters

  28. Variance of $\int_{t=o}^{T}\sqrt{|B(t)|}$ $dB(t)%$

  29. When predicting Forex price using HMM what, typically, are the states and what are the observations?

  30. Spot Interest Rate at time $t$

  31. Deriving $dR(t)$ For Reverse Exchange Rate

  32. Why the expected return rate of a stock has nothing to do with its option price?
  33. Interest rate model with external variables
  34. Interpretation of the stochastic integral as a wealth process
  35. Problem of negative local volatility:
  36. Foward-start option pricing
  37. Ito's Lemma: Multiplication Rule
  38. Risk Neutral measure, reaffecting probabilities to paths

  39. Fractional Brownian motion - probability density function of the increments

  40. Expected Value of Stochastic Process
  41. How can I randomly pick entries in a .gdx file in GAMS?
  42. How to solve this inhomogeneous pde?

  43. Proof positiveness condition CIR dynamic

  44. Are changes in the asset price a Markov process?

  45. Is there uniform stochastic process?
  46. Stochastic integrals wrt to independent Wiener processes are uncorrelated, but potentially dependent?

  47. Standard definition of multidimensional Brownian Motion with correlations
  48. Vector of differences of Brownian motion integrals is multivariate normal

  49. Calibration by monte carlo, should I fix my seed?

  50. How to Implement an optimal Stochastic Control Optimization?

  51. Do stochastic interest rate models forecast future interest rate?
  52. Cadlag Property of Jump Proccesses

  53. Is optimal position distribution for a negatively autocorrelated gaussian process derived from the cumulative distribution?
  54. How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?
  55. Are the time integrated OU and time integrated CIR processes infinite divisible?

  56. Why does Black-Scholes equation hold on continuation region of American Option?

  57. Why is OU process stationary?

  58. Black-Scholes formula proof, without stochastic integration

  59. Comparison of GBM paths with exact formulation and euler Discretization

  60. Why is the ATM vol kind of an average volatility

  61. Laplace Exponent of a Jump-Diffusion Process

  62. Clarification on martingale process, explain wikipedia paragraph
  63. Process for a portfolio of stocks where each share follows a log-normal process
  64. Prove that $E[g(X_T)|\mathscr F_t] = E[g(X_T)|X_t]$

  65. Forward Kolmogorov initial distribution

  66. Solving for roots of a stochastic pay-off function
  67. How to use reflection principle to solve the analytic solution of double barrier-out-call

  68. Lee Carter Model - Mortality

  69. Does Libor martingale under T-forward measure
  70. Estimate the mean reversion level of the variance process under the real world measure

  71. Ito vs. Stratonovich: Why is it the exact midpoint that renders Ito-correction zero?
  72. Is there a stochastic equation which can model returns according to its four moments?
  73. PDF Calculation by Fourier Inversion of Characteristic Function for Affine Intensity Process in Matlab
  74. Model for target zone exchange rates

  75. Characteristic function of SDE with coefficients depending upon second coupled SDE

  76. Intuition behind the change of variable of BS into Heat Equation

  77. Transformation of coupled forward-backward stochastic differential equations in 3 dimensions with Ito formula

  78. QuantLib Gsr model
  79. Net present value when cash flows accrue continuously and are stochastic

  80. Explanation on the application of CLT in bionomial tree model
  81. How to trade the Ornstein-Uhlenbeck process?

  82. How to calibrate an SDE's by finite difference equation?

  83. Will volatility smoothing effects exist for returns driven by geometric brownian motion?
  84. The solution to arithmetic brownian motion

  85. How to find the mean and variance of this stochastic process?

  86. Connection between stock price behavior and risk neutral valuation of European put

  87. Utility-optimal leverage with costs

  88. What is the probability that a Brownian Bridge hits an upper barrier $U$ before a lower barrier $L$?

  89. How to understand nonrandom/random process in Shreve book?

  90. Scaling Z value/or voll with square root of time
  91. Why is $Y(t)V^h(t)$ a martingale?

  92. Short rate models (stochastic)
  93. Why do we have zero drift when switching to a martingale measure?

  94. Why won't Bjork ever show that the integrability condition is satisfied?

  95. How to price Swaptions with short rate models?

  96. CIR Process from Ornstein–Uhlenbeck process
  97. Pricing defaultable asset with finite maturity

  98. Can I always use quadratic variation to calculate variance?

  99. Concatenation property of a set of semimartingales
  100. How to compute the variance of this stochastic integral?